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Housing, consumption and monetary policy: how different are the U.S. and the euro area?

Alberto Musso, Stefano Neri () and Livio Stracca ()

No 807, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the U.S. and the euro area. First, it establishes some stylised facts concerning key variables in the housing market on the two sides of the Atlantic, such as real house prices, residential investment and mortgage debt. It then presents evidence from Structural Vector Autoregressions (SVAR) by focusing on the effects of monetary policy, credit supply and housing demand shocks on the housing market and the broader economy. The analysis shows that similarities outweigh differences as far as the housing market is concerned. The empirical evidence suggests a stronger role for housing in the transmission of monetary policy shocks in the U.S. The evidence is less clear-cut for housing demand shocks. Finally, credit supply shocks seem to matter more in the euro area.

Keywords: residential investment; house prices; credit; monetary policy (search for similar items in EconPapers)
JEL-codes: E22 E44 E52 (search for similar items in EconPapers)
Date: 2011-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-ure
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Related works:
Journal Article: Housing, consumption and monetary policy: How different are the US and the euro area? (2011) Downloads
Working Paper: Housing, consumption and monetary policy: how different are the US and the euro area? (2010) Downloads
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