Do Central Banks React to House Prices?
Daria Finocchiaro () and
Virginia Queijo von Heideken
Journal of Money, Credit and Banking, 2013, vol. 45, issue 8, 1659-1683
We estimate the Federal Reserve's, the Bank of England's, and the Bank of Japan's responses to house prices. We show that generalized method of moments estimates of a Taylor rule augmented with house prices are biased and dispersed. We then use full‐information methods and estimate the policy rule together with a VAR for the nonpolicy variables. These estimates are also biased. We propose an alternative approach and estimate a dynamic stochastic general equilibrium model embedded with a monetary rule with a direct response to house prices. We find that house prices played a separate role in the reaction functions of these central banks.
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Journal Article: Do Central Banks React to House Prices? (2013)
Working Paper: Do Central Banks React to House Prices? (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:45:y:2013:i:8:p:1659-1683
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