Leaning against house prices: A structural VAR investigation
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DOI: 10.1016/j.jmoneco.2020.12.002
Abstract: Abstract Evidence from monetary VARs suggests that in the U.S., Canada, and the U.K. the impact of monetary shocks on real house prices is about three to five times as large as that on real… read more here.
Keywords: house prices; structural var; prices structural; real house ... See more keywords
Monetary policy and stock valuation: structural VAR identification and size effects
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DOI: 10.1080/14697688.2017.1414516
Abstract: This paper examines the relationship between the US monetary policy and stock valuation using a structural VAR framework that allows for the simultaneous interaction between the federal funds rate and stock market developments based on… read more here.
Keywords: policy; structural var; monetary policy; stock valuation ... See more keywords