Do house prices play a role in unconventional monetary policy transmission in Japan?

被引：2

作者：

Renzhi, Nuobu ^{[1
]}

机构：

[1] Capital Univ Econ & Business, Beijing, Peoples R China

来源：

JOURNAL OF ASIAN ECONOMICS | 2022年 / 83卷

关键词：

House prices; Unconventional monetary policy; Structural VAR; Time-varying parameter VAR; Japanese economy; CONSUMPTION; UNCERTAINTY; MARKET;

D O I：

10.1016/j.asieco.2022.101547

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study comprehensively analyzes the role of house prices in the transmission mechanism of unconventional monetary policy (UMP) in Japan using structural vector autoregression models. The empirical results show that house prices are significantly affected by UMP shocks, and fluctuations in house prices considerably affect macroeconomic variables. With a set of robustness checks and extensions, the findings indicate that house prices provide important channels for UMP transmission.

引用

页数：15

共 50 条

[1] The Role of House Prices and Transactions in Monetary Policy Transmission: The Case of Italy
Fiorelli, Cristiana
Marzano, Elisabetta
Piselli, Paolo
Rubinacci, Roberta
[J]. ITALIAN ECONOMIC JOURNAL, 2024,
[2] Euro area house prices and unconventional monetary policy surprises
Hulsewig, Oliver
Rottmann, Horst
[J]. ECONOMICS LETTERS, 2021, 205
[3] The Role of House Prices in the Monetary Transmission Mechanism
Bayir, Musa
[J]. SOSYOEKONOMI, 2020, 28 (45) : 63 - 86
[4] The role of house prices in the monetary policy transmission mechanism in small open economies
Bjornland, Hilde C.
Jacobsen, Dag Henning
[J]. JOURNAL OF FINANCIAL STABILITY, 2010, 6 (04) : 218 - 229
[5] The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries
Rosenberg, Signe
[J]. JOURNAL OF HOUSING ECONOMICS, 2019, 46
[6] House prices and monetary policy
Brito, Paulo
Marini, Giancarlo
Piergallini, Alessandro
[J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2016, 20 (03): : 251 - 277
[7] The role of liquidity constraints in the response of monetary policy to house prices
Kajuth, Florian
[J]. JOURNAL OF FINANCIAL STABILITY, 2010, 6 (04) : 230 - 242
[8] The Effectiveness of Unconventional Monetary Policy in Japan
Montgomery, Heather
Volz, Ulrich
[J]. JOURNAL OF ECONOMIC ISSUES, 2019, 53 (02) : 411 - 416
[9] House prices and the stance of monetary policy
Jarociriski, Marek
Smets, Frank R.
[J]. FEDERAL RESERVE BANK OF ST LOUIS REVIEW, 2008, 90 (04): : 339 - 365
[10] The Transmission Mechanism of Unconventional Monetary Policy
Janus, Jakub
[J]. OECONOMIA COPERNICANA, 2016, 7 (01) : 7 - 21

← 1 2 3 4 5 →