Monetary policy, asset prices and macroeconomic conditions : a panel-VAR study
AbstractThis paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.
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Bibliographic InfoPaper provided by National Bank of Belgium in its series Working Paper Research with number 149.
Length: 39 pages
Date of creation: Oct 2008
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asset prices; credit; monetary policy; panel VAR;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-11 (All new papers)
- NEP-CBA-2008-11-11 (Central Banking)
- NEP-MAC-2008-11-11 (Macroeconomics)
- NEP-MON-2008-11-11 (Monetary Economics)
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- Tillmann, Peter, 2012.
"Capital inflows and asset prices: Evidence from emerging Asia,"
IMFS Working Paper Series
58, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
- Tillmann, Peter, 2013. "Capital inflows and asset prices: Evidence from emerging Asia," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 717-729.
- Peter Tillmann, 2012. "Capital Inflows and Asset Prices: Evidence from Emerging Asia," Working Papers 182012, Hong Kong Institute for Monetary Research.
- Peter Tillmann, 2012. "Capital Inflows and Asset Prices: Evidence from Emerging Asia," MAGKS Papers on Economics 201215, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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