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House prices and credit as transmission channels from monetary policy to inequality: Evidence from OECD countries

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  • Vale, Sofia

Abstract

Using a panel vector autoregressive model, this paper assesses the impact of monetary policy on the Gini coefficient of disposable income for 30 OECD countries between 1995Q1 and 2019Q4. We assume house prices and household credit as transmission channels, representing households’ financial balance. To capture the effect of the financial crisis, the analysis further distinguishes the period that started in 2008Q4. We find that a contractionary monetary policy increases the Gini coefficient in a moderate way. For the entire period, house prices are an effective transmission channel, a positive shock decreasing inequality, while credit is not statistically significant. Following the crisis credit stands out as the transmission mechanism, a positive credit shock reducing the Gini coefficient, while house prices lose relevance. These results are robust to different model specifications.

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  • Vale, Sofia, 2024. "House prices and credit as transmission channels from monetary policy to inequality: Evidence from OECD countries," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 293-307.
    • Handle: RePEc:eee:ecanpo:v:84:y:2024:i:c:p:293-307
    DOI: 10.1016/j.eap.2024.08.027
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    More about this item

    Keywords

    Gini coefficient; Monetary policy; House prices; Household credit; Panel VAR;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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