Monetary Policy and Real Estate Prices: A Disaggregated Analysis for Switzerland
AbstractMost empirical studies found that monetary policy has a significant effect on house prices while stock markets remain unaffected by interest rate shocks. In this paper we conduct a more detailed analysis by studying various sub-segments of the real estate market. Employing a new dataset for Switzerland we estimate vector autoregressive models and find substitution effects between house and apartment prices on the one hand and rental prices on the other. Interestingly enough, commercial property prices do not react on interest rate variations.
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Bibliographic InfoPaper provided by Helmut Schmidt University, Hamburg in its series Working Paper with number 105/2010.
Length: 42 pages
Date of creation: 14 Oct 2010
Date of revision:
monetary policy; interest rate shocks; real estate; stock market;
Other versions of this item:
- Michael Berlemann & Julia Freese, 2013. "Monetary policy and real estate prices: a disaggregated analysis for Switzerland," International Economics and Economic Policy, Springer, vol. 10(4), pages 469-490, December.
- Berlemann, Michael & Freese, Julia, 2010. "Monetary policy and real estate prices: A disaggregated analysis for Switzerland," HWWI Research Papers 2-19, Hamburg Institute of International Economics (HWWI).
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-CBA-2010-10-23 (Central Banking)
- NEP-MAC-2010-10-23 (Macroeconomics)
- NEP-MON-2010-10-23 (Monetary Economics)
- NEP-URE-2010-10-23 (Urban & Real Estate Economics)
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