Journal
OXFORD REVIEW OF ECONOMIC POLICY
Volume 24, Issue 1, Pages 180-205Publisher
OXFORD UNIV PRESS
DOI: 10.1093/oxrep/grn009
Keywords
house prices; wealth effects; collateral; financial liberalization; money and credit
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This paper assesses the links between money, credit, house prices, and economic activity in industrialized countries over the last three decades. The analysis is based on a fixed-effects panel vector autoregression, estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The main results of the analysis are the following. (i) There is evidence of a significant multidirectional link between house prices, monetary variables, and the macroeconomy. (ii) The link between house prices and monetary variables is found to be stronger over a more recent sub-sample from 1985 to 2006. (iii) The effects of shocks to money and credit are found to be stronger when house prices are booming.
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