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Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study. NBB Working Papers. No. 149, 16 October 2008

Assenmacher-Wesche, Katrin and Gerlach, Stefan. (2008) Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study. NBB Working Papers. No. 149, 16 October 2008. [Working Paper]

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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.

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    Item Type: Working Paper
    Subjects for non-EU documents: EU policies and themes > Policies & related activities > economic and financial affairs > Single Market > capital, goods, services, workers
    EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy
    Subjects for EU documents: UNSPECIFIED
    EU Series: UNSPECIFIED
    ["eprint_fieldname_eusries" not defined]: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > National Bank of Belgium (Brussels) > Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 01 Jun 2009
    Page Range: p. 39
    Last Modified: 15 Feb 2011 18:11
    URI: http://aei.pitt.edu/id/eprint/10988

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