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When Does Monetary Policy Sway House Prices? A Meta-Analysis

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  • Ehrenbergerova, Dominika
  • Bajzik, Josef
  • Havranek, Tomas

Abstract

Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices: the estimated semi-elasticities range from -12 to positive values. To assign a pattern to these differences, we collect 1,447 estimates from 31 individual studies that cover 45 countries and 69 years. We then relate the estimates to 39 characteristics of the financial system, business cycle, and estimation approach. Our main results are threefold. First, the mean reported estimate is exaggerated by publication bias, because insignificant results are underreported. Second, omission of important variables (liquidity and long-term rates) likewise exaggerates the effects of short-term rates on house prices. Third, the effects are stronger in countries with more developed mortgage markets and generally later in the cycle when the yield curve is flat and house prices enter an upward spiral.

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  • 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.
  • Handle: RePEc:zbw:esprep:234126
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    More about this item

    Keywords

    interest rates; house prices; monetary policy transmission; meta-analysis; publication bias; Bayesian model averaging;
    All these keywords.

    JEL classification:

    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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