Housing, Consumption and Monetary Policy: How Different are the US and the Euro Area?
By A. Musso, S. Neri, Livio Stracca. Social Science Research Network, 2011
289 citations recorded by the source corpus.
This paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the U.S. and the euro area. First, it establishes some stylised facts concerning key variables in the housing market on the two sides of the Atlantic, such as real house prices, residential investment and mortgage debt. It then presents evidence from Structural Vector Autoregressions (SVAR) by focusing on the effects of monetary policy, credit supply and housing demand shocks on the housing market and the broader economy. The analysis shows that similarities outweigh differences as far as the housing market is concerned. The empirical evidence suggests a stronger role for housing in the transmission of monetary policy shocks in the U.S. The evidence is less clear-cut for housing demand shocks. Finally, credit supply shocks seem to matter more in the euro area.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/a68d20a34d7f1ce9539f75fe58a4c07b2a15979e
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In Economics and Econometrics
Citations in the corpus
- Housing Cycles and Macroeconomic Fluctuations: A Global Perspective (2012, background): “Moreover, housing demand shocks are often assumed to have no contemporaneous effect on real GDP or consumption, so as to rule out a more fundamental type of shocks such as a positive technology shock (see Jarocinski and Smets (2008), Iacoviello and Neri (2010), and Musso, Neri, and Stracca (2011)).”
- Loan Supply Shocks During the Financial Crisis: Evidence for the Euro Area (2012, background): “We are only aware of two recent macro–data VAR studies that identify loan supply shocks traditionally – by imposing zero restrictions on the contemporaneous or long–run impact of shocks (Groen, 2004; Musso, Neri, and Stracca, 2010).”