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When Does Monetary Policy Sway House Prices? A Meta-Analysis

Author

Listed:
  • Dominika Ehrenbergerova

    (Czech National Bank
    Institute of Economic Studies, Faculty of Social Sciences, Charles University)

  • Josef Bajzik

    (Czech National Bank
    Institute of Economic Studies, Faculty of Social Sciences, Charles University)

  • Tomas Havranek

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University
    CEPR)

Abstract

Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices: the estimated semi-elasticities range from $$-12$$ - 12 to positive values. To assign a pattern to these differences, we collect 1,555 estimates from 37 individual studies that cover 45 countries and 72 years. We then relate the estimates to 39 characteristics of the financial system, business cycle, and estimation approach. Our main results are threefold. First, the mean reported estimate is exaggerated by publication bias, because insignificant results are underreported. Second, inclusion of controls correlated with policy rates (credit or money supply) decreases the estimated effects of policy rates on house prices. Third, the effects are stronger in countries with more developed mortgage markets and generally later in the cycle when the yield curve is flat and house prices enter an upward spiral.

Suggested Citation

  • Dominika Ehrenbergerova & Josef Bajzik & Tomas Havranek, 2023. "When Does Monetary Policy Sway House Prices? A Meta-Analysis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 538-573, June.
    • Handle: RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00185-5
    DOI: 10.1057/s41308-022-00185-5
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    More about this item

    Keywords

    Interest rates; House prices; Monetary policy transmission; Meta-analysis; Publication bias; Bayesian model averaging;
    All these keywords.

    JEL classification:

    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Meta-Research in Economics

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