One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Summary:
We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. Building a small open economy model featuring a housing sector and calibrating it to Spain, we show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the responses of output and private consumption.
Series:
Working Paper No. 2020/108
Subject:
Consumption Housing Housing prices Mortgages Private consumption
Frequency:
regular
English
Publication Date:
June 26, 2020
ISBN/ISSN:
9781513548746/1018-5941
Stock No:
WPIEA2020108
Pages:
63
Please address any questions about this title to publications@imf.org