지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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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.
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참고문헌 (29)
참고문헌 신청
Allen, Franklin / 2004 / Asset Price Bubbles and Monetary Policy, In Global Governance and Financial Crises : 19 ~ 42
Arnold, I / 2002 / Wealth Effects and Monetary Policy / WO Research Memoranda 719
Bernanke, Ben S / 1986 / Alternative Explanations of the Money-Income Correlation / Real Business Cycles, Real Exchange Rates, Carnegie-Rochester Conference Series on Public
Bernanke, Ben S / 1988 / Credit, Money, and Aggregate Demand / American Economic Review 78 : 435 ~ 439
Bernanke, Ben S / 1999 / Monetary Policy and Asset Price Volatility, in New challenges for monetary policy / Federal Reserve Bank of Kansas City : 77 ~ 128
Arnold, I / 2002 / Wealth Effects and Monetary Policy / WO Research Memoranda 719
Bernanke, Ben S / 1986 / Alternative Explanations of the Money-Income Correlation / Real Business Cycles, Real Exchange Rates, Carnegie-Rochester Conference Series on Public
Bernanke, Ben S / 1988 / Credit, Money, and Aggregate Demand / American Economic Review 78 : 435 ~ 439
Bernanke, Ben S / 1999 / Monetary Policy and Asset Price Volatility, in New challenges for monetary policy / Federal Reserve Bank of Kansas City : 77 ~ 128
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