Navigating shifting tides: Time-varying monetary policy spillovers in core-peripheral housing markets in the Euro area

Abstract

This study examines the spillover effects of a unified monetary policy on core and peripheral housing markets in the Euro Area, utilizing augmented spillover accounting techniques developed by Diebold and Yilmaz (2009). Our estimation results reveal significant core-peripheral differences: core countries experience stronger and more immediate spillovers from monetary policy, especially during the unconventional period following the 2008 global financial crisis and events such as the Russian invasion of Ukraine. In contrast, peripheral countries exhibit a slower, more moderate response, thereby remaining relatively insulated from policy-driven systemic risks. This underscores the varying impacts of monetary policy on housing stability across the Euro Area, highlighting the need for tailored policy responses.