House Prices, Money, Credit and the Macroeconomy

By C. Goodhart, Boris Hofmann. Social Science Research Network, 2008

222 citations recorded by the source corpus.

This paper assesses the links between money, credit, house prices, and economic activity in industrialized countries over the last three decades. The analysis is based on a fixed-effects panel vector autoregression, estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The main results of the analysis are the following. (i) There is evidence of a significant multidirectional link between house prices, monetary variables, and the macroeconomy. (ii) The link between house prices and monetary variables is found to be stronger over a more recent sub-sample from 1985 to 2006. (iii) The effects of shocks to money and credit are found to be stronger when house prices are booming.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/41cd093015869c5299e114092455cbea6430fd6e

Citations in the corpus

• Asset Price Misalignments and the Role of Money and Credit (2010, unknown): “Also focusing on the housing market, Goodhart and Hofmann (2008) define a house price boom as a positive deviation of real house prices from a smooth trend of more than 5% lasting at least 12 quarters.”
• Monetary policy and risk taking (2015, unknown): “A similar conclusion is reached by Goodhart and Hoffmann [28], focusing on house price booms.”
• The effectiveness of unconventional monetary policy at the zero lower bound : a cross-country analysis (2014, unknown): “See also Goodhart and Hofmann (2008) or Assenmacher-Wesche and Gerlach (2008) for a discussion of these issues and applications of panel VAR analysis to the link between monetary policy and asset prices in OECD countries.”