Leaning against house prices: A structural VAR investigation

• 成果类型: Article
• 署名作者: Benati, Luca
• 署名单位: University of Bern
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.12.002
• 发表日期: 2021
• 页码: 399-412
• 关键词: Structural VARs; house prices; sign restrictions; Zero restrictions

摘要

Evidence from monetary VARs suggests that in the U.S., Canada, and the U.K. the impact of monetary shocks on real house prices is about three to five times as large as that on real GDP. Although these trade-offs are not manifestly unfavorable, in the light of the large differences in the magnitudes of house prices and GDP fluctuations, a monetary policy of leaning against the former would inevitably entail significant losses in the latter. I use the identified VARs in order to explore the corresponding trade-offs associated with a monetary policy of weakly, but systematically leaning against house prices. Results from 'modest' (in the sense of Leeper and Zha, 2003) policy counterfactuals suggest that, in population, the impact on real house prices is about three times as large as that on real GDP for all of the three countries. Within the specific context of the upsurge in U.S. house prices which pre-dated the financial crisis, a shortfall of one per cent of GDP would have been associated with a decline in real house prices by about four per cent. (c) 2020 Elsevier B.V. All rights reserved.