Financial Structure and the Impact of Monetary Policy on Asset Prices

Posted: 14 Oct 2008

See all articles by Stefan Gerlach

Stefan Gerlach

Central Bank of Ireland; Centre for Economic Policy Research (CEPR)

Katrin Assenmacher

Swiss National Bank

Date Written: September 10, 2008

Abstract

We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial systems. The effect of monetary policy on property prices is about three times as large as its impact on GDP. Using monetary policy to guard against financial instability by offsetting asset-price movements thus has sizable effects on economic activity. While the financial structure influences the impact of policy on asset prices, its importance appears limited.

Keywords: Asset Prices, Monetary Policy, Panel VAR

JEL Classification: C23, E52

Suggested Citation

Gerlach, Stefan and Assenmacher, Katrin, Financial Structure and the Impact of Monetary Policy on Asset Prices (September 10, 2008). CFS Working Paper No. 2008/30, Available at SSRN: https://ssrn.com/abstract=1284398

Stefan Gerlach (Contact Author)

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Katrin Assenmacher

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
544
PlumX Metrics