Real Effects of the ECB's Quantitative Easing: A Housing Portfolio Channel

52 Pages Posted: 19 Mar 2021 Last revised: 27 Jul 2021

See all articles by Daniel te Kaat

Daniel te Kaat

University of Groningen

Chang Ma

Fudan University - Fanhai International School of Finance (FISF)

Alessandro Rebucci

Johns Hopkins University - Carey Business School; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Date Written: February 9, 2021

Abstract

We propose a new housing portfolio channel through which QE affects output. In response to QE, intermediaries rebalance portfolios from bonds to houses, lowering the return to saving and stimulating consumption and output. We study this channel empirically in a German housing boom without credit boom. Identification exploits regional variation in land scarcity to measure exposure. Our channel accounts for 60-80% of the total QE impact, with the term spread, the credit, collateral and wealth channels accounting for the remainder. To illustrate our channel, we also set up a simple portfolio model with preferred habitat investing in local housing markets.

Keywords: Asset Market Segmentation, Buy-to-let, Housing Portfolio Channel, Quantitative Easing, Germany, Rental Yields, House Prices

JEL Classification: E3, E4, E5, R3

Suggested Citation

te Kaat, Daniel and Ma, Chang and Rebucci, Alessandro, Real Effects of the ECB's Quantitative Easing: A Housing Portfolio Channel (February 9, 2021). Available at SSRN: https://ssrn.com/abstract=3782131 or http://dx.doi.org/10.2139/ssrn.3782131

Daniel Te Kaat

University of Groningen ( email )

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

Chang Ma (Contact Author)

Fudan University - Fanhai International School of Finance (FISF) ( email )

China

Alessandro Rebucci

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States

HOME PAGE: http://carey.jhu.edu/faculty-research/faculty-directory/alessandro-rebucci-phd

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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