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dc.contributor.author | Andre, Christophe![]() |
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dc.contributor.author | Caraiani, Petre![]() |
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dc.contributor.author | Calin, Adrian Cantemir![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.date.accessioned | 2022-08-15T12:51:23Z | |
dc.date.available | 2022-08-15T12:51:23Z | |
dc.date.issued | 2022-05 | |
dc.description.abstract | Gali and Gambetti (2015) found protracted episodes in which stock prices rise in response to monetary policy tightening. This counter-intuitive result suggests that raising the policy rate in response to a perceived asset price deviation from fundamentals may fail to contain an emerging bubble. Since housing is often at the epicenter of deep and protracted recessions, it is essential (from a monetary policy perspective) to assess whether the result from Gali and Gambetti (2015) also holds when one considers housing instead of stock prices. Thus, we estimated a Bayesian VAR model based on an asset-pricing framework allowing for rational bubbles in the United States, the United Kingdom, and Canada. In addition, this estimation framework separates the fundamental component of housing prices from its bubble component, derived as the deviation of observed prices from the fundamental values. This allowed us to examine the responses of both components to a monetary policy shock and assess how bubbles may affect the responses of housing prices to monetary policy tightening. According to the results, we found that housing prices respond negatively to an interest rate hike, as common intuition would imply. This indicates that monetary policy may play a role in fighting housing price bubbles. | en_US |
dc.description.department | Economics | en_US |
dc.description.librarian | hj2022 | en_US |
dc.description.sponsorship | The Romanian Ministry of Education and Research, CNCS - UEFISCDI. | en_US |
dc.description.uri | https://www.journals.elsevier.com/economic-modelling | en_US |
dc.identifier.citation | André, C., Caraiani, P., Călin, A.C. et al. 2022, 'Can monetary policy lean against housing bubbles?', Economic Modelling, vol. 110, art. 105801, pp. 1-29, doi : 10.1016/j.econmod.2022.105801. | en_US |
dc.identifier.issn | 0264-9993 (print) | |
dc.identifier.issn | 1873-6122 (online) | |
dc.identifier.other | 10.1016/j.econmod.2022.105801 | |
dc.identifier.uri | https://repository.up.ac.za/handle/2263/86785 | |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2022 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Economic Modelling, vol. 110, art. 105801, pp. 1-29, 2022, doi : 10.1016/j.econmod.2022.105801. | en_US |
dc.subject | Housing | en_US |
dc.subject | Bubbles | en_US |
dc.subject | Vector autoregressive (VAR) | en_US |
dc.subject | Monetary policy | en_US |
dc.subject | Asset pricing | en_US |
dc.subject | Leaning against the wind | en_US |
dc.title | Can monetary policy lean against housing bubbles? | en_US |
dc.type | Preprint Article | en_US |