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Credit Constraint and the Asymmetric Monetary Policy Effect on House Prices

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  • Nan-Kuang Chen
  • Yu-Hsi Chou
  • Jyh-Lin Wu

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Pacific Economic Review.

Volume (Year): 18 (2013)
Issue (Month): 4 (October)
Pages: 431-455

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Handle: RePEc:bla:pacecr:v:18:y:2013:i:4:p:431-455

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References

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  1. Campbell, John Y. & Cocco, Joao F., 2007. "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(3), pages 591-621, April.
  2. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2009. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," MPRA Paper 23514, University Library of Munich, Germany.
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  5. Matteo Iacoviello, 2004. "Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis," Boston College Working Papers in Economics, Boston College Department of Economics 589, Boston College Department of Economics, revised 13 Sep 2004.
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  7. Mark Gertler & Simon Gilchrist, 1991. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," NBER Working Papers 3892, National Bureau of Economic Research, Inc.
  8. Aoki, Kosuke & James Proudman & Gertjan Vlieghe, 2003. "House prices, consumption, and monetary policy: a financial accelerator approach," Royal Economic Society Annual Conference 2003, Royal Economic Society 7, Royal Economic Society.
  9. Nathan S. Balke, 2000. "Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 344-349, May.
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  11. Yin-Wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment," CESifo Working Paper Series 924, CESifo Group Munich.
  12. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(4), pages 1261-82, November.
  13. Charles Goodhart & Boris Hofmann, 2008. "House prices, money, credit, and the�macroeconomy," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 24(1), pages 180-205, spring.
  14. Matteo Iacoviello & Raoul Minetti, 2002. "The Credit Channel of Monetary Policy: Evidence from the Housing Market," Boston College Working Papers in Economics, Boston College Department of Economics 541, Boston College Department of Economics, revised 29 Aug 2003.
  15. Edison, Hali J & Luangaram, Pongsak & Miller, Marcus, 2000. "Asset Bubbles, Leverage and 'Lifeboats': Elements of the East Asian Crisis," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 110(460), pages 309-34, January.
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  20. Cordoba, Juan Carlos & Ripoll, Marla, 2010. "Collateral Constraints in a Monetary Economy," Staff General Research Papers 32123, Iowa State University, Department of Economics.
  21. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
  22. Karras, Georgios, 1996. "Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 267-78, May.
  23. Nan-Kuang Chen & Charles Leung, 2008. "Asset Price Spillover, Collateral and Crises: with an Application to Property Market Policy," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 37(4), pages 351-385, November.
  24. Shiu-Sheng Chen, 2007. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(2-3), pages 667-688, 03.
  25. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  26. Weise, Charles L, 1999. "The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 31(1), pages 85-108, February.
  27. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 77(2), pages 379-404, April.
  28. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 105(2), pages 211-48, April.
  29. Kim, Jaechil & Ni, Shawn & Ratti, Ronald A., 1998. "Monetary policy and asymmetric response in default risk," Economics Letters, Elsevier, vol. 60(1), pages 83-90, July.
  30. Calza, Alessandro & Stracca, Livio & Monacelli, Tommaso, 2009. "Housing finance and monetary policy," Working Paper Series, European Central Bank 1069, European Central Bank.
  31. Azariadis, Costas & Smith, Bruce, 1998. "Financial Intermediation and Regime Switching in Business Cycles," American Economic Review, American Economic Association, vol. 88(3), pages 516-36, June.
  32. Yu-chin Chen & Pisut Kulthanavit, 2008. "Adaptive Learning And Monetary Policy In An Open Economy: Lessons From Japan," Pacific Economic Review, Wiley Blackwell, Wiley Blackwell, vol. 13(4), pages 405-430, October.
  33. Wensheng Peng & DicksonC. Tam & MatthewS. Yiu, 2008. "Property Market And The Macroeconomy Of Mainland China: A Cross Region Study," Pacific Economic Review, Wiley Blackwell, Wiley Blackwell, vol. 13(2), pages 240-258, 05.
  34. Bae, Youngsoo & Kakkar, Vikas & Ogaki, Masao, 2006. "Money Demand in Japan and Nonlinear Cointegration," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(6), pages 1659-1667, September.
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Cited by:
  1. Hao Meng & Wei-Xing Zhou & Didier Sornette, 2014. "Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies," Papers 1408.5618, arXiv.org.

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