Abstract
This paper empirically assesses the role of monetary policy, real estate prices, housing rent, and consumer
prices in the determination of autonomous consumption and output. To do this, six different Structural
VAR models are estimated on US quarterly data for the period 1970-2020. The estimations suggest that:
i. houses’ own interest rate (which reflects the actual cost of buying a house) produces more persistent
and statistically significant effects on autonomous consumption and on output than the real interest rate; ii.
monetary policy transmission works through autonomous consumption, in particular via changes in housing
prices; iii. autonomous consumption shocks trigger persistent and long-lasting effects on the output level. Last,
when analysing separately the three price indexes considered, it is possible to observe the emergence of a
price puzzle.
| Original language | English |
|---|---|
| Pages (from-to) | 115-127 |
| Number of pages | 13 |
| Journal | Structural Change and Economic Dynamics |
| Volume | 67 |
| DOIs | |
| Publication status | Published - 2023 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 17 Partnerships for the Goals
Keywords
- Housing prices
- Monetary policy
- SVAR
- Supermultiplier
- US
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