Monetary Policy, Asset Prices and Macroeconomic Conditions : A Panel-Var Study

National Bank of Belgium Working Paper No. 149

39 Pages Posted: 1 Oct 2010

See all articles by Katrin Assenmacher

Katrin Assenmacher

Swiss National Bank

Stefan Gerlach

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

Date Written: October 16, 2008

Abstract

This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.

Keywords: asset prices, credit, monetary policy, panel VAR

JEL Classification: C23, E52

Suggested Citation

Assenmacher, Katrin and Gerlach, Stefan, Monetary Policy, Asset Prices and Macroeconomic Conditions : A Panel-Var Study (October 16, 2008). National Bank of Belgium Working Paper No. 149, Available at SSRN: https://ssrn.com/abstract=1685105 or http://dx.doi.org/10.2139/ssrn.1685105

Katrin Assenmacher (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland

Stefan Gerlach

Central Bank of Ireland ( email )

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

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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