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Euro area house price fluctuations and unconventional monetary policy surprises

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  • Hülsewig, Oliver
  • Rottmann, Horst

Abstract

This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. Using Jordà's (2005) local projection method, we find that house prices rise in response to expansionary monetary policy shocks that can be related to unconventional monetary policy measures. Thus, monetary policy should take into account the risk of house price fluctuations when implementing new large scale policy interventions.

Suggested Citation

  • Hülsewig, Oliver & Rottmann, Horst, 2021. "Euro area house price fluctuations and unconventional monetary policy surprises," Weidener Diskussionspapiere 80, University of Applied Sciences Amberg-Weiden (OTH).
    • Handle: RePEc:zbw:hawdps:80
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    References listed on IDEAS

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    1. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    2. Charles Goodhart & Boris Hofmann, 2008. "House prices, money, credit, and the macroeconomy," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 24(1), pages 180-205, spring.
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    Cited by:

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    2. Sigal Ribon, 2023. "The Interaction between Macroprudential and Monetary Policies and the Housing Market – A VAR Examination for Israel," Bank of Israel Working Papers 2023.11, Bank of Israel.

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    More about this item

    Keywords

    House price fluctuations; unconventional monetary policy; local projection method;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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