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Monetary policy, asset prices and macroeconomic conditions : a panel-VAR study

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Author Info

  • Katrin Assenmacher-Wesche

    ()
    (Swiss National Bank, Research Department)

  • Stefan Gerlach

    ()
    (Goethe University Frankfurt, Institute for Monetary and Financial Stability)

Abstract

This 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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File URL: http://www.nbb.be/doc/oc/repec/reswpp/wp149En.pdf
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Bibliographic Info

Paper provided by National Bank of Belgium in its series Working Paper Research with number 149.

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Length: 39 pages
Date of creation: Oct 2008
Date of revision:
Handle: RePEc:nbb:reswpp:200810-24

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Keywords: asset prices; credit; monetary policy; panel VAR;

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Cited by:
  1. 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.

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