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Do house prices play a role in unconventional monetary policy transmission in Japan?

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  • Renzhi, Nuobu

Abstract

This study comprehensively analyzes the role of house prices in the transmission mechanism of unconventional monetary policy (UMP) in Japan using structural vector autoregression models. The empirical results show that house prices are significantly affected by UMP shocks, and fluctuations in house prices considerably affect macroeconomic variables. With a set of robustness checks and extensions, the findings indicate that house prices provide important channels for UMP transmission.

Suggested Citation

  • Renzhi, Nuobu, 2022. "Do house prices play a role in unconventional monetary policy transmission in Japan?," Journal of Asian Economics, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:asieco:v:83:y:2022:i:c:s1049007822001038
    DOI: 10.1016/j.asieco.2022.101547
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    More about this item

    Keywords

    House prices; Unconventional monetary policy; Structural VAR; Time-varying parameter VAR; Japanese economy;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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