Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study

Katrin Assenmacher and Stefan Gerlach ()

No 149, Working Paper Research from National Bank of Belgium

Abstract: This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.

Keywords: asset prices; credit; monetary policy; panel VAR (search for similar items in EconPapers)
JEL-codes: C23 E52 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2008-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:200810-24

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