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International Housing Markets, Unconventional Monetary Policy, And The Zero Lower Bound

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  • Huber, Florian
  • Punzi, Maria Teresa

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.

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  • Huber, Florian & Punzi, Maria Teresa, 2020. "International Housing Markets, Unconventional Monetary Policy, And The Zero Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 24(4), pages 774-806, June.
    • Handle: RePEc:cup:macdyn:v:24:y:2020:i:4:p:774-806_2
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    2. Eiblmeier, Sebastian, 2023. "Differential Effects of Unconventional Monetary Policy," Hannover Economic Papers (HEP) dp-707, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector," Sustainability, MDPI, vol. 11(10), pages 1-12, May.
    4. Rangan Gupta & Hardik A. Marfatia, 2017. "A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach," Working Papers 201736, University of Pretoria, Department of Economics.
    5. Hülsewig, Oliver & Rottmann, Horst, 2021. "Euro area house prices and unconventional monetary policy surprises," Economics Letters, Elsevier, vol. 205(C).
    6. Gupta, Rangan & Ma, Jun & Theodoridis, Konstantinos & Wohar, Mark E., 2023. "Is there a national housing market bubble brewing in the United States?," Macroeconomic Dynamics, Cambridge University Press, vol. 27(8), pages 2191-2228, December.
    7. Zhang, Xiaoyu & Pan, Fanghui, 2021. "Asymmetric effects of monetary policy and output shocks on the real estate market in China," Economic Modelling, Elsevier, vol. 103(C).
    8. Petre Caraiani & Adrian C. Călin & Rangan Gupta, 2021. "Monetary policy and bubbles in US REITs," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 675-687, June.
    9. Yun Liu, 2022. "Housing and monetary policy: Fresh evidence from China," Financial Economics Letters, Anser Press, vol. 1(1), pages 1-12, December.
    10. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2022. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 241-261, July.
    11. Eiblmeier, Sebastian, 2024. "Differential Effects of Unconventional Monetary Policy," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302432, Verein für Socialpolitik / German Economic Association.
    12. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy, 2019. "Time-varying impact of uncertainty shocks on the US housing market," Economics Letters, Elsevier, vol. 180(C), pages 15-20.
    13. Boge, Kevin Patrick & Rieth, Malte & Kholodilin, Konstantin, 2024. "The unequal impacts of monetary policies on regional housing markets," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302370, Verein für Socialpolitik / German Economic Association.
    14. Rosenberg, Signe, 2019. "The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries," Journal of Housing Economics, Elsevier, vol. 46(C).
    15. Rui Wang, 2021. "Evaluating the Unconventional Monetary Policy of the Bank of Japan: A DSGE Approach," JRFM, MDPI, vol. 14(6), pages 1-18, June.
    16. Renzhi, Nuobu, 2022. "Do house prices play a role in unconventional monetary policy transmission in Japan?," Journal of Asian Economics, Elsevier, vol. 83(C).
    17. Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2021. "Dynamic Impact of Unconventional Monetary Policy on International REITs," JRFM, MDPI, vol. 14(9), pages 1-19, September.
    18. Wolfgang Kloppenburg, 2021. "Are Real Estate Prices Evolving into an Asset Price Bubble?," ACTA VSFS, University of Finance and Administration, vol. 15(1), pages 36-48.
    19. Aviral Kumar Tiwari & Rangan Gupta & Mark E. Wohar, 2020. "Is the Housing Market in the United States Really Weakly-Efficient?," Applied Economics Letters, Taylor & Francis Journals, vol. 27(14), pages 1124-1134, July.
    20. Renzhi, Nuobu, 2023. "Household net saving positions and unconventional monetary policy transmission: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    21. Rasa Stasiukynaite, 2017. "Understanding Monetary Policy Stance," Bank of Lithuania Occasional Paper Series 14, Bank of Lithuania.
    22. Mahua Barari & Srikanta Kundu, 2019. "The Role of the Federal Reserve in the U.S. Housing Crisis: A VAR Analysis with Endogenous Structural Breaks," JRFM, MDPI, vol. 12(3), pages 1-20, July.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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