Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209922 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009/06
Publisher: 
Norges Bank, Oslo
Abstract: 
We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying hocks to interest rates and house prices by using a combination of short-run and long-run (neutrality) restrictions. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism to increase considerably. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices seem to enhance the negative response in output and consumer price inflation that has traditionally been found in the conventional literature. Moreover, we find that the interest rate respond systematically to a change in house prices.
Subjects: 
VAR
monetary policy
house prices
identification
JEL: 
C32
E52
F31
F41
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-496-3
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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