金融对货币政策的理论和实践(英文版)(pdf 23页)

JEL summary
     We analyse the impact of financial liberalisation on the link between monetary policy and house prices. We present a simple model of a small open economy subject to credit constraints. The model shows that the higher the degree of financial liberalisation, the stronger is the impact of interest rate shocks on house prices. We then use vector autoregressions to study the role of monetary policy shocks in house price fluctuations in Finland, Sweden and UK, characterised by
financial liberalisation episodes over the last twenty years. We find that the response of house prices to interest rate surprises is bigger and more persistent in periods characterised by more liberalised financial markets.
     This paper analyses the impact that a process of financial liberalisation can have on the link between monetary policy and house prices. In the first part of the paper we present a simple theoretical model of a small open economy subject to credit constraints. The model shows that the higher is the degree of financial liberalisation of the economy, the stronger is the impact of monetary policy shocks on house prices. In the second part of the paper we use a VAR approach to study the role of monetary policy in house price fluctuations in three European countries (Finland, Sweden and UK) characterised by major episodes of financial liberalisation over the last twenty years. Our findings are in general consistent with
the idea that the response of house prices to monetary shocks is bigger and more persistent in periods characterised by more liberalised financial markets.
..............................