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Monetary policy and real estate prices: A disaggregated analysis for Switzerland

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  • Berlemann, Michael
  • Freese, Julia

Abstract

Most 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. Em-ploying 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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Paper provided by Hamburg Institute of International Economics (HWWI) in its series HWWI Research Papers with number 2-19.

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Date of creation: 2010
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Handle: RePEc:zbw:hwwirp:2-19

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Keywords: monetary policy; interest rate shocks; real estate; stock market;

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  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  2. Anna Schwartz, 2003. "Asset price inflation and monetary policy," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 1-14, March.
  3. Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
  4. Barbara Roffia & Andrea Zaghini, 2007. "Excess money growth and inflation dynamics," Working Paper Series 749, European Central Bank.
  5. Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
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