Monetary Policy, Asset Prices and Macroeconomic Conditions : A Panel-Var Study

Abstract

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Capital inflows and asset prices: Evidence from emerging Asia

“…This warrants some discussion as the OLS estimator with fixed-effects is known to be potentially biased in a dynamic panel setting if the coefficients on the endogenous variables differ across countries. As discussed in Assenmacher- Wesche and Gerlach (2008), restricting the coefficients to be the same across groups induces serial correlation in the residuals when the regressors are autocorrelated. A popular way to solve this problem is to apply Pesaran and Smith's (1995) mean-group estimator, which is used in Assenmacher-Wesche and Gerlach (2008) and Sá, Towbin and Wieladek (2011).…”

Time-Varying and Regional Dynamics in Swiss Housing Markets

“…Goodhart and Hofmann (2008) find on average no effect during normal times and significant responses during house price peaks using a panel VAR. Also Assenmacher and Gerlach (2008) only find a minor explanatory power for GDP on property prices using a panel VAR. 24 The effect of fundamentals on single family home prices and rented apartments are more stable over time.…”

“…The peak effect in levels is reached after 2 years. Assenmacher and Gerlach (2008) including Swiss data also find a persistent effect of interest rates on property prices on average in their panel VAR with 17 countries. year), after five years the effect is still 0.3 percent in the median.…”

Exploring the International Transmission of U.S. Stock Price Movements

“…Fratzscher et al (2007) point to stock market wealth as an explanation for U.S. external imbalances, while in an extension to the G-7 countries, Fratzscher and Straub (2009) find that shocks to stock returns have sizeable effects on external accounts. Furthermore, Assenmacher-Wesche and Gerlach (2008) study the relationship between stock prices, real activity and prices in industrialized countries and find a significant transmission of stock price shocks.…”

“…One camp uses sign restrictions on impulse responses and treats shocks to stock prices as demand side business cycle shocks, assuming that stock prices impact on real actvity and prices (see, e.g., Fratzscher et al, 2007;Fratzscher and Straub, 2009). Another camp imposes zero restrictions on impulse matrices and rules out a contemporaneous effect of stock prices on real actvity, prices and interest rates (see, e.g., Assenmacher-Wesche and Gerlach, 2008). Both approaches are debatable.…”