Credit constraint and the asymmetric monetary policy effect on house prices

Nan Kuang Chen, Yu Hsi Chou, Jyh Lin Wu

研究成果: 雜誌貢獻文章

3 引文 斯高帕斯(Scopus)

摘要

We study the possible asymmetric effect of monetary policy on house prices under different credit regimes. We first derive the implications of a theoretical model in which agents may be collateral-constrained. We then empirically examine the implications of the model using the threshold vector autoregression model. Two different measures reflecting the tightness of the credit market are computed to serve as the threshold variable. We find that house prices react to a monetary shock initially more strongly but the effect is less persistent in a credit boom regime than in a normal credit regime. This result is consistent with the findings of our theoretical model.

原文英語
頁(從 - 到)431-455
頁數25
期刊Pacific Economic Review
18
發行號4
DOIs
出版狀態已發佈 - 2013 十月
對外發佈Yes

ASJC Scopus subject areas

  • Economics and Econometrics

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