Ensuring financial stability : financial structure and the impact of monetary policy on asset prices
- This paper studies the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006. We estimate VARs for individual economies and panel VARs in which we distinguish between groups of countries on the basis of the characteristics of their financial systems. The results suggest that using monetary policy to offset asset price movements in order to guard against financial instability may have large effects on economic activity. Furthermore, while financial structure influences the impact of policy on asset prices, its importance appears limited. Keywords: asset prices, monetary policy, panel VAR. JEL Number: C23, E52
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| Author: | Katrin Assenmacher-WescheORCiDGND, Stefan Gerlach |
|---|---|
| URN: | urn:nbn:de:hebis:30-70465 |
| URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/Working%20Paper%202008_15%20Siekmann.pdf |
| Parent Title (German): | Working paper series / Institute for Monetary and Financial Stability ; 16 |
| Series (Serial Number): | Working paper series / Institute for Monetary and Financial Stability (16) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2009/09/17 |
| Tag: | asset prices; monetary policy; panel VAR |
| GND Keyword: | Value at Risk; Wohnraum; Aktienkurs; Inflation; Geldpolitik; Geschichte 1986-2006 |
| HeBIS-PPN: | 218594518 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C23 Models with Panel Data |
| Licence (German): |  Deutsches Urheberrecht |
