Publicação
Empirical study on the asymmetric effects of monetary policy on housing prices
| Resumo: | This dissertation analyses the effects of monetary policy on the housing markets of Portugal and the Netherlands, two structurally distinct economies within the Euro Area. Using quarterly data from 2000Q1 to 2025Q1, a VAR/SVAR model with recursive (Cholesky) identification is estimated for four sectoral variables: the house price index, the rent price index, building per- mits, and the house price-to-income ratio. The ECB deposit facility rate is used as a proxy for monetary policy. The analysis relies on impulse-response functions and forecast error variance decompositions to assess the dynamic transmission mechanisms. The results reveal a weak short-run transmission of monetary shocks to house prices and related housing variables in both countries. In Portugal, the effects on prices are small and sta- tistically fragile, while those on rents are virtually null. In the Netherlands, prices shown little reaction, although a temporary decline in rents is observed. Building permits decrease slightly without robust significance, and the house price-to-income ratio improves only marginally and temporarily. The FEVDs indicate that most of the forecast variance is explained by own-varia- ble shocks rather than by monetary or cross-sectoral innovations. The interpretation links these findings to institutional features: in Portugal, high expo- sure to variable-rate borrowing is offset by rigidities on the supply side, while in the Nether- lands, the predominance of fixed-rate mortgages and low supply elasticity dampen short-run effects. The study contributes to a deeper understanding of the asymmetric and weak transmis- sion of a common monetary policy to housing markets within the Euro Area. |
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| Autores principais: | Penaguião, Pedro Miguel Vaz Velho de Noronha |
| Assunto: | Política monetária -- Monetary policy Mercado imobiliário -- Real estate Modelos VAR -- VAR Models Asymmetric shocks Zona euro -- Euro zone Choques assimétricos |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | ISCTE |
| Idioma: | inglês |
| Origem: | Repositório ISCTE |
| Resumo: | This dissertation analyses the effects of monetary policy on the housing markets of Portugal and the Netherlands, two structurally distinct economies within the Euro Area. Using quarterly data from 2000Q1 to 2025Q1, a VAR/SVAR model with recursive (Cholesky) identification is estimated for four sectoral variables: the house price index, the rent price index, building per- mits, and the house price-to-income ratio. The ECB deposit facility rate is used as a proxy for monetary policy. The analysis relies on impulse-response functions and forecast error variance decompositions to assess the dynamic transmission mechanisms. The results reveal a weak short-run transmission of monetary shocks to house prices and related housing variables in both countries. In Portugal, the effects on prices are small and sta- tistically fragile, while those on rents are virtually null. In the Netherlands, prices shown little reaction, although a temporary decline in rents is observed. Building permits decrease slightly without robust significance, and the house price-to-income ratio improves only marginally and temporarily. The FEVDs indicate that most of the forecast variance is explained by own-varia- ble shocks rather than by monetary or cross-sectoral innovations. The interpretation links these findings to institutional features: in Portugal, high expo- sure to variable-rate borrowing is offset by rigidities on the supply side, while in the Nether- lands, the predominance of fixed-rate mortgages and low supply elasticity dampen short-run effects. The study contributes to a deeper understanding of the asymmetric and weak transmis- sion of a common monetary policy to housing markets within the Euro Area. |
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