金融自由化和住房价格对货币政策的敏感性理论和实践.pdfVIP

Financial Liberalisation and the Sensitivity of House Prices to Monetary Policy: Theory and Evidence? Matteo Iacoviello Boston College and LSE iacoviel@bc.edu Raoul Minetti Michigan State University and LSE minetti@msu.edu JEL summary We analyse the impact of financial liberalisation on the link between monetary policy and house prices. We present a simple model of a small open economy subject to credit constraints. The model shows that the higher the degree of financial liberalisation, the stronger is the impact of interest rate shocks on house prices. We then use vector autoregressions to study the role of monetary policy shocks in house price fluctuations in Finland, Sweden and UK, characterised by financial liberalisation episodes over the last twenty years. We find that the response of house prices to interest rate surprises is bigger and more persistent in periods characterised by more liberalised financial markets. Keywords: House prices, monetary policy, financial liberalisation. JEL Classification Numbers: E52, E32, C32, R21. ? We thank Nobuhiro Kiyotaki, Andrea Caggese and Vicente Cunat for comments and suggestions on an earlier version of this draft. Any errors are our own. 1 Financial Liberalisation and the Sensitivity of House Prices to Monetary Policy: Theory and Evidence Abstract This paper analyses the impact that a process of financial liberalisation can have on the link between monetary policy and house prices. In the first part of the paper we present a simple theoretical model of a small open economy subject to credit constraints. The model shows that the higher is the degree of financial liberalisation of the economy, the stronger is the impact of monetary policy shocks on house prices. In the second part of the paper we use a VAR approach to study the role of monetary policy in house price fluctuations in three European countries (Finland, Sweden and UK) characterised by major episodes of financial liberalisation over the last twenty years. Our