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INTERNATIONAL HOUSING MARKETS, UNCONVENTIONAL MONETARY POLICY, AND THE ZERO LOWER BOUND

Published online by Cambridge University Press:  14 November 2018

Florian Huber  and
Maria Teresa Punzi
Florian Huber
Affiliation:
Salzburg Centre of European Union Studies (SCEUS), University of Salzburg
Maria Teresa Punzi*
Affiliation:
Webster Vienna Private University
*
Address correspondence to: Maria Teresa Punzi, Webster Vienna Private University. Palais Wenkheim, Praterstrasse 23 - 1020, Vienna, Austria. e-mail: maria-teresa.punzi@webster.ac.at; punzimt@gmail.com.
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Abstract

In this paper, we analyze the relationship between unconventional monetary policy (UMP), measured through shadow interest rates, and housing markets for the USA, the United Kingdom, Japan, and the Euro Area using a set of time-varying parameter vector autoregressive models. Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance for most economies considered. A counterfactual exercise provides some evidence that UMP has been particularly successful in dampening the consequences of the financial crisis on housing markets in the USA, while the effects are more muted in the remaining countries considered.

Keywords

Zero Lower BoundShadow Interest RateHousing MarketTime-Varying Parameter VAR
Type
Articles
Information
Macroeconomic Dynamics , Volume 24 , Issue 4 , June 2020 , pp. 774 - 806
Copyright
© Cambridge University Press 2018

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Footnotes

The work on this paper is part of FinMaP (Financial Distortions and Macroeconomic Performance, contract no. SSH.2013.1.3-2), funded by the European Union under its Seventh Framework Programme for Research and Technological Development. We would like to thank Hans Genberg, Philipp Piribauer, and two anonymous referees for helpful comments and suggestions.

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