Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study. NBB Working Papers. No. 149, 16 October 2008
(2008) Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study. NBB Working Papers. No. 149, 16 October 2008 .
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Abstract
This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.
| Item Type: | Working Paper |
|---|---|
| Public Domain: | No |
| Refereed: | No |
| Status: | Published |
| Authors, Individual: | Assenmacher-Wesche, Katrin and Gerlach, Stefan. |
| Title: | Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study. NBB Working Papers. No. 149, 16 October 2008 |
| Language: | English |
| Journals and Series: | Series > National Bank of Belgium (Brussels) > Working Papers |
| Pages: | 39 |
| Month: | October |
| Year: | 2008 |
| Subjects: | EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy EU policies and themes > Policies & related activities > economic and financial affairs > economic policy |
| Alternative Locations: | http://www.nbb.be/doc/ts/publications/wp/wp149En.pdf |
| ID Code: | 10988 |
| Deposited By: | Wilkin, Phil |
| Deposited On: | 01 June 2009 |
