住房财富与货币政策传导：跨国证据

Housing wealth and monetary policy Challenges for Monetary Policy Transmission in a Changing World Network (ChaMP) This paper contains research conducted within the network “Challenges for Monetary Policy Transmission in a Changing WorldNetwork” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of theEuropean System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), MargheritaBottero (Banca d’Italia), Emmanuel Dhyne (Nationale Bank van België/Banque Nationale de Belgique) and Maria T. Valderrama(Oesterreichische Nationalbank), who are supported by Melina Papoutsi and Gonzalo Paz-Pardo (both ECB), 7 central bank advisers ChaMP seeks to revisit our knowledge of monetary transmission channels in the euro area in the context of unprecedented shocks,multiple ongoing structural changes and the extension of the monetary policy toolkit over the last decade and a half as well as the recentsteep inflation wave and its reversal. More information is provided on its website. Abstract This paper quantifies the role of housing wealth in the transmission of monetary policy to consumptionin 20 advanced economies. Using Bayesian VAR models we identify structural shocks with a novel com-bination of sign and maximum forecast error variance restrictions, isolating the housing wealth channel JEL classification:E21, E52, E44, R31, C32.Keywords:consumption; cash-flow channel; Non-technical summary Housing is crucial in the balance sheets of households and banks. Therefore, changes in house pricescan significantly affect the real economy and the magnitude of these effects depends on the drivers ofhouse valuations’ changes. For example, the substantial rise in real house prices during the Covid-19 This paper analyses the transmission of monetary policy to consumption via the housing and mort-gage market, leveraging the cross-country heterogeneity in structural characteristics to understand therole of the housing wealth and cash-flow effects. Given the comparable dataset and a novel modellingstrategy, we are able to estimate the housing wealth effect and analyse the transmission of monetary pol-icy to consumption via housing and mortgage markets in a consistent way for 20 advanced economies. Empirical insights from this cross-country analysis can be linked to underlying theories of monetarypolicy transmission via housing, and are also complementary to the literature that relies on micro-leveldata to estimate housing wealth effects. Furthermore, our findings have relevant implications from the 1Introduction Housing plays a crucial role in household and bank balance sheets and therefore changes in house val-uations significantly affect the real economy. House price changes may have various drivers and, con- sequently, different implications for the real outcomes. For example, the substantial rise in real houseprices during the Covid-19 pandemic (Figure 1, blue bars) was largely associated with changes in housingdemand, that contributed positively to aggregate consumption.1Afterwards, amid the global monetary policy tightening, real estate prices started to decelerate and even reversed (Figure 1, yellow bars), and The analysis relies on structural Bayesian vector autoregression (BVAR) models for 20 advancedeconomies, combined with local projection analysis. We identify structural shocks using a novel com-bination of the sign and maximum forecast error variance (FEV) approach. This strategy allows us toidentify both housing demand and mortgage supply shocks, separately from monetary policy, aggregatedemand and aggregate supply shocks.Given the comparable dataset and a novel modelling strategy, Seminal papers by Iacoviello (2005) and Iacoviello and Neri (2010) have highlighted the crucial role of the housing market for monetary policy transmission, using two-agent New Keynesian (TANK)models.In these papers, housing is an asset on the balance sheet of so-called impatient households,who borrow from patient households against collateral. House price changes, for example resulting frommonetary policy or housing demand shocks, affect the value of collateral, which contributes to changesof borrowing constraints and thus affects the transmission of these shocks to consumption through the We have three main findings. First, we show that not only the peak response of consumption butalso the peak response of house prices to the monetary policy shock are heterogeneous across countriesand related to the differences in the housing and mortgage market characteristics, namely the share of The insights from our structural models have relevant implications from the policy perspective. Theypoint to the crucial role of housing and mortgage market characteristics in the strength of monetarypolicy transmission to consumption and housing wealth effects. They also allow us to draw implication