Do house prices play a role in unconventional monetary policy transmission in Japan?

Nuobu Renzhi

Journal of Asian Economics, 2022, vol. 83, issue C

Abstract: This study comprehensively analyzes the role of house prices in the transmission mechanism of unconventional monetary policy (UMP) in Japan using structural vector autoregression models. The empirical results show that house prices are significantly affected by UMP shocks, and fluctuations in house prices considerably affect macroeconomic variables. With a set of robustness checks and extensions, the findings indicate that house prices provide important channels for UMP transmission.

Keywords: House prices; Unconventional monetary policy; Structural VAR; Time-varying parameter VAR; Japanese economy (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:83:y:2022:i:c:s1049007822001038

DOI: 10.1016/j.asieco.2022.101547

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