Do House Prices Impact Consumption and Interest Rate? : Evidence from OECD Countries Using an Agnostic Identification Procedure

Christophe Andréi ; Rangan Guptaii ; Patrick T. Kandaii iOECDiiUniversity of Pretoria

Organisation for Economic Co-operation and Development

关键词: agnostic identification;    monetary policy;    house prices;    consumption;   

DOI  :  https://doi.org/10.1787/5k9d192klphd-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices, residential investment, real house prices and mortgage loans, while private consumption and nominal interest rate responses are left unrestricted. The results suggest that consumption responds positively and significantly to a house price shock in Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and systematically to a housing demand shock, their repercussions on the economy tend to translate into higher policy rates after a few quarters.