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dc.contributor.authorAASTVEIT, Knut Are
dc.contributor.authorFURLANETTO, Francesco
dc.contributor.authorLORIA, Francesca 
dc.date.accessioned2018-06-19T14:31:46Z
dc.date.available2018-06-19T14:31:46Z
dc.date.issued2017
dc.identifier.isbn9788275539609
dc.identifier.issn1502-819-0
dc.identifier.urihttp://hdl.handle.net/1814/55845
dc.descriptionPublished: 8 March 2017en
dc.description.abstractIn this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account.en
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesNorges Bank Working Paper
dc.relation.ispartofseries2017/01
dc.relation.urihttps://static.norges-bank.no/en/Published/Papers/Working-Papers/2017/12017/en
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.titleHas the fed responded to house and stock prices? : a time-varying analysisen
dc.typeWorking Paperen


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