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Monetary policy and asset prices in the euro area since the global financial crisis

Author

Listed:
  • Christophe Blot
  • Paul Hubert
  • Fabien Labondance

Abstract

This paper assesses the non-linear effects of monetary policy in the euro area since the global financial crisis on both asset prices and their imbalances component, for the stock and housing markets. We compute these imbalances as the difference between asset prices and a benchmark value that we approximate with fundamentals in a discounted cash-flow model, the fitted value of asset prices in a data-driven model or the trend in a standard trend/cycle filtering model. We find that ECB monetary policy has affected both stock and house prices in the euro area since 2008. However, we show that monetary policy influences stock price imbalances but not house price imbalances. Exploring further the mechanism, we find that this response of stock price imbalances is driven by central bank information shocks, not by pure policy shocks.

Suggested Citation

  • Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "Monetary policy and asset prices in the euro area since the global financial crisis," Revue d'économie politique, Dalloz, vol. 130(2), pages 257-281.
    • Handle: RePEc:cai:repdal:redp_302_0257
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    Citations

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    Cited by:

    1. Christophe Blot & Fabien Labondance, 2021. "Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound," SciencePo Working papers Main hal-04221606, HAL.
    2. Christophe Blot & Jérôme Creel & Emmanuelle Faure & Paul Hubert, 2020. "Setting New Priorities for the ECB's Mandate," SciencePo Working papers Main hal-03403024, HAL.
    3. Acurio Vásconez, Verónica & Damette, Olivier & Shanafelt, David W., 2023. "Macroepidemics and unconventional monetary policy," Economic Modelling, Elsevier, vol. 126(C).
    4. repec:hal:spmain:info:hdl:2441/1f03f28hhu85b9bn1bp8i7g8ie is not listed on IDEAS
    5. repec:hal:spmain:info:hdl:2441/7s4nvss9v087rqs3uqk4j1m93k is not listed on IDEAS
    6. repec:hal:spmain:info:hdl:2441/3o6mep11pr9uha5lb808ba3q9n is not listed on IDEAS
    7. Christophe Blot & Jérôme Creel & Paul Hubert, 2020. "APP vs PEPP: Similar, But With Different Rationales," Sciences Po publications info:hdl:2441/7s4nvss9v08, Sciences Po.
    8. Georg Leitner & Teresa Hübel & Anna Wolfmayr & Manuel Zerobin, 2021. "How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area," Department of Economics Working Papers wuwp312, Vienna University of Economics and Business, Department of Economics.
    9. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    10. Muysken, Joan & Meijers, Huub, 2022. "Globalisation and financialisation in the Netherlands, 1995 - 2020," MERIT Working Papers 2022-006, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    11. Clara De Luigi & Martin Feldkircher & Philipp Poyntner & Helene Schuberth, 2023. "Quantitative Easing and Wealth Inequality: The Asset Price Channel," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 638-670, June.
    12. Verónica Acurio Vásconez & Olivier Damette & David W Shanafelt, 2023. "Macroepidemics and unconventional monetary policy," Post-Print hal-04220462, HAL.

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