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The Role of the Housing Market in Monetary Transmission

  • Gabor Vadas

    (Magyar Nemzeti Bank)

  • Gergely Kiss

    (Magyar Nemzeti Bank)

As part of the monetary transmission studies of the Magyar Nemzeti Bank, this paper attempts to analyse the role of the housing market in the monetary transmission mechanism of Hungary. The housing market can influence monetary transmission through three channels, namely, the nature of the interest burden of mortgage loans, asset (house) prices, and the credit channel. The study first summarises the experiences of developed countries, paying special attention to issues arising from the monetary union. It then examines the developments in the Hungarian housing and mortgage markets in the last 15 years, as well as the expected developments and changes attendant to the adoption of the euro. Using panel econometric techniques, the study investigates the link between macroeconomic variables and house prices in Hungary, and the effect of monetary policy on housing investment and consumption through the wealth effect and house equity withdrawal.

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File URL: http://128.118.178.162/eps/mac/papers/0512/0512010.pdf
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Paper provided by EconWPA in its series Macroeconomics with number 0512010.

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Length: 38 pages
Date of creation: 15 Dec 2005
Date of revision:
Handle: RePEc:wpa:wuwpma:0512010
Note: Type of Document - pdf; pages: 38
Contact details of provider: Web page: http://128.118.178.162

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  1. Carroll, Christopher D & Fuhrer, Jeffrey C & Wilcox, David W, 1994. "Does Consumer Sentiment Forecast Household Spending? If So, Why?," American Economic Review, American Economic Association, vol. 84(5), pages 1397-1408, December.
  2. James M. Poterba, 1983. "Tax Subsidies to Owner-occupied Housing: An Asset Market Approach," Working papers 339, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. M Pesaran & Yongcheol Shin & Ron P Smith, 2004. "Pooled mean group estimation of dynamic heterogeneous panels," ESE Discussion Papers 16, Edinburgh School of Economics, University of Edinburgh.
  4. Pain, Nigel & Westaway, Peter, 1997. "Modelling structural change in the UK housing market: A comparison of alternative house price models," Economic Modelling, Elsevier, vol. 14(4), pages 587-610, October.
  5. Whitehead, Christine M.E., 1999. "Urban housing markets: Theory and policy," Handbook of Regional and Urban Economics, in: P. C. Cheshire & E. S. Mills (ed.), Handbook of Regional and Urban Economics, edition 1, volume 3, chapter 40, pages 1559-1594 Elsevier.
  6. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," Economic Journal, Royal Economic Society, vol. 107(445), pages 1701-27, November.
  7. Paolo carnazza & Giuseppe Parigi, 2001. "The Evolution of Confidence for European Consumers and Businesses in France, Germany and Italy," Temi di discussione (Economic working papers) 406, Bank of Italy, Economic Research and International Relations Area.
  8. Gabor Vadas, 2005. "Beyond macro variables: consumer confidence index and household expenditure in Hungary," Microeconomics 0512006, EconWPA.
  9. Gábor Vadas, 2004. "Modelling Households’ Savings and Dwellings Investment – A Portfolio Choice Approach," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 31-55.
  10. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  11. Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
  12. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
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