Effect of conventional and unconventional monetary policy shocks on housing prices in Canada

IF 1.4 3区经济学 Q3 ECONOMICS

Journal of Housing Economics Pub Date : 2024-04-03 DOI:10.1016/j.jhe.2024.101993

Dennis Nsafoah , Cosmas Dery

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Abstract

This paper investigates the relative importance and effect of conventional and unconventional Canadian monetary policy surprises on housing prices. Using a credible approach to identify structural monetary policy shocks in Canada and a comprehensive Bayesian VAR model to analyze their effects on financial and macroeconomic variables, we find that both conventional monetary policy and quantitative easing shocks have a significant and persistent effect on housing prices in Canada. However, the inflationary effect of a quantitative easing shock is more pronounced than that of an easing target monetary policy surprise. Specifically, the peak effect of a 25-basis point expansionary conventional monetary policy shock is a 2.30% increase in real housing prices while a comparable quantitative easing surprise leads to a peak of 4.56% increase in real housing prices. We conclude that expansionary monetary policy in various forms has had significant inflationary effects on Canadian housing prices. But quantitative easing surprises stand out as the most prominent contributory factor to the escalating Canadian real estate price. Quantitative easing impact consistently outweighs the effects of forward guidance and conventional monetary policy shocks.

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常规和非常规货币政策冲击对加拿大住房价格的影响

本文研究了加拿大常规和非常规货币政策意外对房价的相对重要性和影响。我们使用可信的方法来识别加拿大的结构性货币政策冲击，并使用全面的贝叶斯 VAR 模型来分析它们对金融和宏观经济变量的影响，结果发现常规货币政策和量化宽松政策冲击对加拿大的住房价格都有显著和持续的影响。然而，量化宽松冲击对通货膨胀的影响比宽松目标货币政策的意外影响更为明显。具体来说，25 个基点的扩张性常规货币政策冲击的峰值效应是实际房价上涨 2.30%，而可比的量化宽松政策冲击则导致实际房价峰值上涨 4.56%。我们的结论是，各种形式的扩张性货币政策对加拿大房价产生了显著的通胀效应。但量化宽松政策的意外影响是导致加拿大房地产价格上涨的最主要因素。量化宽松政策的影响始终超过前瞻性指导和传统货币政策冲击的影响。

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来源期刊

Journal of Housing Economics Multiple-

CiteScore

3.30

自引率

4.20%

发文量

期刊介绍： The Journal of Housing Economics provides a focal point for the publication of economic research related to housing and encourages papers that bring to bear careful analytical technique on important housing-related questions. The journal covers the broad spectrum of topics and approaches that constitute housing economics, including analysis of important public policy issues.