House Prices and the Stance of Monetary Policy

By Marek Jarociński, Frank Smets. 2008

337 citations recorded by the source corpus.

This paper estimates a Bayesian vector autoregression for the U.S. economy that includes a housing sector and addresses the following questions: Can developments in the housing sector be explained on the basis of developments in real and nominal gross domestic product and interest rates? What are the effects of housing demand shocks on the economy? How does monetary policy affect the housing market? What are the implications of house price developments for the stance of monetary policy? Regarding the latter question, we implement a Cespedes et al. (2006) version of a monetary conditions index.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/58217c05286020bb27d514eb4ce81a6371f512c3

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Citations in the corpus

In Search for Yield? Survey-Based Evidence on Bank Risk Taking (2014, background): “GDP and the overall price level react with a delay to property price movements (see, e.g., Jarociński and Smets 2008).”
Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2011, neutral): “Examples are Jarociński and Smets (2008) and Farrant and Peersman (2006).”
Identification of Financial Factors in Economic Fluctuations (2019, neutral): “Jarocinski and Smets (2008) consider housing shocks and credit shocks in the same set-up as in the second step of our estimation exercise.”
Transmission Lags of Monetary Policy: A Meta-Analysis (2012, neutral): “DORNBUSCH, R., FAVERO, C., GIAVAZZI, F., GENBERG, H., AND ROSE, A. K. (1998): “Immediate Challenges for the European Central Bank.”
Global House Price Fluctuations: Synchronization and Determinants (2012, neutral): “Others employ sign restrictions to identify monetary policy shocks (Carstensen and others, 2009; Del Negro and Otrok, 2007; Jarocinski and Smets, 2008). Some recent studies also consider the importance of the housing sector in the transmission of monetary policy (see Feroli and others, 2012). Sa, To”