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통화정책 전달에서의 주택가격의 역할

The Role of House Prices in The Monetary Policy Transmission Mechanism

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초록

In this study, we analyse the role of house prices in the monetary policy transmission mechanism in Korea using structural VARs. We solve the interdependence or simultaneity problem between housing prices and monetary policy by imposing a combination of recursive short-run restrictions and a long-run (money-neutrality) restriction on the parameters of the VAR model. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices seem to enhance the negative response in output that has traditionally been found in the conventional literature. We also find the price puzzle, that is, interest shock has a sluggish and an eventually negative effect on consumer price inflation. Finally, monetary policymaking is also influenced by the housing market, as the interest rate rises significantly in response to a positive housing market shock.

Abstract

In this study, we analyse the role of house prices in the monetary policy transmission mechanism in Korea using structural VARs. We solve the interdependence or simultaneity problem between housing prices and monetary policy by imposing a combination of recursive short-run restrictions and a long-run (money-neutrality) restriction on the parameters of the VAR model. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices seem to enhance the negative response in output that has traditionally been found in the conventional literature. We also find the price puzzle, that is, interest shock has a sluggish and an eventually negative effect on consumer price inflation. Finally, monetary policymaking is also influenced by the housing market, as the interest rate rises significantly in response to a positive housing market shock.

참고문헌 (41)

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