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Geldpolitik und Vermögensmärkte

Listed author(s):
  • Christian Dreger
  • Jürgen Wolters

The appropriate design of monetary policy in integrated fi nancial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. In this case, the inclusion of asset prices in the monetary policy rule can eventually limit speculative runs in the future to avoid negative effects on the real economy. On the other hand, a leaning against the wind policy would be likely more restrictive and could bear the risk of signifi cant losses in output and employment. This paper examines the impacts of liquidity and interest shocks on real share and house prices. VAR models for the US, the euro area, Japan and the UK are considered. While monetary policy does not affect share prices, it has a substantial impact on house prices. Hence, a more restrictive monetary policy could reduce non fundamental price developments in this area. However, the gains from a policy response to asset prices are unequally distributed across the economies. While it seems not very harmful in the US, it has negative effects on output especially in the UK and the euro area. Therefore, a leaning against the wind policy appears to be more critical for these regions. Die Transmission monetärer Impulse auf zunehmend integrierten Finanzmärkten ist von herausragender Bedeutung für die Zentralbanken. Falls die starke Ausweitung der Liquidität in den letzten Jahren zu den Preisübertreibungen an den Finanzmärkten beigetragen hat, könnte die Einbeziehung von Vermögenspreisen in die geldpolitische Reaktionsfunktion dazu beitragen, potenzielle negative Konsequenzen für die Realwirtschaft zu vermeiden, die bei einem Platzen der spekulativen Blasen entstehen. Andererseits wäre im Fall steigender Vermögenspreise eine restriktivere Geldpolitik erforderlich, die die Dynamik von Produktion und Beschäftigung reduziert. Um weitere Einsichten in diese Zusammenhänge zu erhalten, werden im Folgenden die Wirkungen monetärer Schocks auf die realen Aktien- und Immobilienpreise untersucht. Dabei werden vektorautoregressive (VAR)-Modelle für die USA, den Euroraum, Japan und Großbritannien spezifiziert. Während die Geldpolitik keinen Einfluss auf die Entwicklung an den Aktienmärkten hat, ist ein signifikanter Effekt für die Immobilienmärkte nachweisbar. In diesem Segment könnte eine restriktivere Geldpolitik bei nicht fundamental begründeten Preissteigerungen tatsächlich dämpfend auf die Entwicklung wirken. Die realwirtschaftlichen Folgen einer solchen Strategie sind allerdings nicht gleichmäßig über die Länder verteilt. Kontraktive Wirkungen auf Produktion und Beschäftigung sind vor allem in Großbritannien und im Euroraum zu erwarten. Daher ist eine entsprechende Ausrichtung der Geldpolitik vor allem für diese Länder problematisch.

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File URL: http://ejournals.duncker-humblot.de/DH/doi/pdf/10.3790/vjh.78.1.56
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Article provided by DIW Berlin, German Institute for Economic Research in its journal Vierteljahrshefte zur Wirtschaftsforschung.

Volume (Year): 78 (2009)
Issue (Month): 1 ()
Pages: 56-65

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Handle: RePEc:diw:diwvjh:78-1-5
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