The Role of House Prices and Transactions in Monetary Policy Transmission: The Case of Italy

IF 1.2 Q3 ECONOMICS Italian Economic Journal Pub Date : 2024-07-11 DOI:10.1007/s40797-024-00282-6

Cristiana Fiorelli, Elisabetta Marzano, Paolo Piselli, Roberta Rubinacci

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Abstract

The housing market is a key channel for monetary policy transmission. The literature has focused mainly on cyclical fluctuations in house prices rather than other indicators to account for housing market dynamics, such as residential transactions. This paper investigated the impact of the monetary policy stance on the housing market by considering residential transactions (together with house prices). First, we estimated a structural vector autoregressive (VAR) model for Italy from 1999Q1 to 2019Q4 using Cholesky structural identification. Second, we used an external instrument to identify the contemporaneous response of all endogenous variables to the shock of interest (Proxy-VAR). Our results indicate that transactions are more significantly reactive than house prices to a restrictive monetary policy shock. After a policy rate increases, the sudden stop in exchange volumes and the low degree of liquidity perceived in the housing market can contribute to shaping the housing wealth effect captured by prices. The results are supported by a robustness analysis based on local projections. Therefore, policy-makers should consider the role of residential transactions in evaluating the effectiveness of monetary policy transmission.

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房价和交易在货币政策传导中的作用：意大利案例

住房市场是货币政策传导的一个关键渠道。文献主要关注的是房价的周期性波动，而不是其他反映住房市场动态的指标，如住宅交易。本文通过考虑住宅交易（连同房价）来研究货币政策立场对住房市场的影响。首先，我们使用 Cholesky 结构识别方法对意大利 1999Q1 至 2019Q4 的结构向量自回归模型进行了估计。其次，我们使用外部工具来识别所有内生变量对相关冲击的同期响应（Proxy-VAR）。我们的结果表明，与房价相比，交易对限制性货币政策冲击的反应更为明显。在政策利率上调后，交易量的突然停止以及住房市场的低流动性可能有助于形成房价所反映的住房财富效应。基于本地预测的稳健性分析支持上述结果。因此，决策者在评估货币政策传导的有效性时应考虑住宅交易的作用。

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来源期刊

Italian Economic Journal ECONOMICS-

CiteScore

2.30

自引率

8.30%

发文量

期刊介绍： Italian Economic Journal (ItEJ) is the official peer-reviewed journal of the Italian Economic Association. ItEJ publishes scientific articles in all areas of economics and economic policy, providing a scholarly, international forum for all methodological approaches and schools of thought. In particular, ItEJ aims at encouraging and disseminating high-quality research on the Italian and the European economy. To fulfill this aim, the journal welcomes applied, institutional and theoretical papers on relevant and timely issues concerning the European and Italian economic debate.ItEJ merges the Rivista Italiana degli Economisti (RIE), the journal founded by the Italian Economic Association in 1996, with the Giornale degli Economisti (GdE), founded in 1875 and enriched by contributions from renowned economists, including Amoroso, Black, Barone, De Viti de Marco, Edgeworth, Einaudi, Modigliani, Pantaleoni, Pareto, Slutsky, Tinbergen and Walras.