One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area

Giancarlo Corsetti, Joao Duarte and Samuel Mann

No 14968, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity. We find this to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. We build a small open economy model featuring a housing sector and calibrate it to Spain. We show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the response of output and private consumption.

Keywords: Monetary policy; High-frequency identification; Monetary union; Housing market; Loan-to-value ratio; Adjustable mortgage rates (search for similar items in EconPapers)
JEL-codes: E21 E31 E44 E52 F44 F45 (search for similar items in EconPapers)
Date: 2020-06
New Economics Papers: this item is included in nep-mac, nep-mon, nep-opm and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area (2020)
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