文章基本信息

标题：Has the Fed responded to house and stock prices? A time-varying analysis
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作者：Knut Are Aastveit ; Francesco Furlanetto ; Francesca Loria 等
期刊名称：Documentos de Trabajo / Banco de España
印刷版ISSN：0213-2710
电子版ISSN：1579-8666
出版年度：2017
卷号：1
出版社：Banco de España
摘要：In this paper we use a structural VAR model with time-varying parameters and stochasticvolatility to investigate whether the Federal Reserve has responded systematically toasset prices and whether this response has changed over time. To recover the systematiccomponent of monetary policy, we interpret the interest rate equation in the VAR as anextended monetary policy rule responding to infl ation, the output gap, house prices andstock prices. We fi nd some time variation in the coeffi cients for house prices and stockprices but fairly stable coeffi cients over time for infl ation and the output gap. Our resultsindicate that the systematic component of monetary policy in the US, i) attached a positiveweight to real house price growth but lowered it prior to the crisis and eventually raised itagain, and ii) only episodically took real stock price growth into account.
关键词：Bayesian VAR; time-varying parameters; monetary policy; house prices; stock;market.