Financial Structure and the Impact of Monetary Policy on Asset Prices

Katrin Assenmacher and Stefan Gerlach (hms.gerlach@gmail.com)

No 2008-16, Working Papers from Swiss National Bank

Abstract: We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial systems. The effect of monetary policy on property prices is only about three times as large as its impact on GDP. Using monetary policy to guard against financial instability by offsetting asset-price movements thus has sizable effects on economic activity. While the financial structure influences the impact of policy on asset prices, its importance appears limited.

Keywords: Asset prices; monetary policy; panel VAR (search for similar items in EconPapers)
JEL-codes: C23 E52 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2008
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Citations: View citations in EconPapers (104)

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