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The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries

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  • Rosenberg, Signe

Abstract

This paper studies the impact of conventional and unconventional monetary policy on house prices in the Scandinavian countries, using sign and zero restrictions in a Bayesian structural vector autoregressive model, covering the policy rate and balance sheet policies of the central banks over a period of nearly 30 years. Expansionary shocks to the policy rate and the balance sheet both have a positive impact on house prices in the Scandinavian countries, but the effects vary greatly within each country. In all three countries the effect of balance sheet shocks on house prices peaks higher and is more persistent than the response of policy rate shocks. In Sweden and Denmark the impact is more sluggish in case of balance sheet shocks while in Norway the speed of the reaction is similar in case of both types of monetary policy shock.

Suggested Citation

  • Rosenberg, Signe, 2019. "The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries," Journal of Housing Economics, Elsevier, vol. 46(C).
  • Handle: RePEc:eee:jhouse:v:46:y:2019:i:c:s1051137718301438
    DOI: 10.1016/j.jhe.2019.101659
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    3. Ehrenbergerova, Dominika & Bajzik, Josef & Havranek, Tomas, 2021. "When Does Monetary Policy Sway House Prices? A Meta-Analysis," EconStor Preprints 234126, ZBW - Leibniz Information Centre for Economics.
    4. Gupta, Rangan & Ma, Jun & Theodoridis, Konstantinos & Wohar, Mark E, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Cardiff Economics Working Papers E2020/3, Cardiff University, Cardiff Business School, Economics Section.

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    More about this item

    Keywords

    Unconventional monetary policy; House prices; SVAR; Zero and sign restrictions;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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