INTERNATIONAL HOUSING MARKETS, UNCONVENTIONAL MONETARY POLICY, AND THE ZERO LOWER BOUND

Florian Huber and Maria Teresa Punzi

Macroeconomic Dynamics, 2020, vol. 24, issue 4, 774-806

Abstract: In this paper, we analyze the relationship between unconventional monetary policy (UMP), measured through shadow interest rates, and housing markets for the USA, the United Kingdom, Japan, and the Euro Area using a set of time-varying parameter vector autoregressive models. Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance for most economies considered. A counterfactual exercise provides some evidence that UMP has been particularly successful in dampening the consequences of the financial crisis on housing markets in the USA, while the effects are more muted in the remaining countries considered.

Date: 2020
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Related works:
Working Paper: International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound (2016)
Working Paper: International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound (2016)
Working Paper: International housing markets, unconventional monetary policy and the zero lower bound (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:24:y:2020:i:4:p:774-806_2

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