The Impact of Monetary Policy on Australian Capital City House Prices: The Case of Australia

32 Pages Posted: 15 Aug 2013

See all articles by Greg Costello

Greg Costello

Curtin University - Centre for Research in Applied Economics

Patricia Fraser

Curtin University of Technology - Curtin Business School - Bentley Campus; University of Aberdeen - Business School

Garry MacDonald

Curtin University - School of Economics and Finance

Date Written: August 8, 2013

Abstract

Using Australian national economic data and state level house prices we construct a structural vector autoregressive (SVAR) model to identify the impact of common monetary policy shocks on house prices both at national and state levels. Our results suggest that the impact of a shock to interest rates on national aggregate house prices is almost neutral. However, aggregation influences mask asymmetries in the responses of state capital city housing markets. Positive shocks to interest rates on capital city house prices exhibit significant asymmetries.

Keywords: housing, house prices, monetary policy, VAR modelling

JEL Classification: E32, E52, R15, R21, R31

Suggested Citation

Costello, Greg and Fraser, Patricia and MacDonald, Garry, The Impact of Monetary Policy on Australian Capital City House Prices: The Case of Australia (August 8, 2013). 26th Australasian Finance and Banking Conference 2013. Available at SSRN: https://ssrn.com/abstract=2307469 or http://dx.doi.org/10.2139/ssrn.2307469

Greg Costello (Contact Author)

Curtin University - Centre for Research in Applied Economics ( email )

GPO Box U1987
Perth, Western Australia 6845
Australia

Patricia Fraser

Curtin University of Technology - Curtin Business School - Bentley Campus ( email )

GPO Box U1987
Perth WA 6845
Australia

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom

Garry MacDonald

Curtin University - School of Economics and Finance ( email )

GPO Box U 1987
Perth, Western Australia 6845
Australia
+61 892267724 (Phone)

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