House Prices and Monetary Policy : A Cross-Country Study
House Prices and Monetary Policy : A Cross-Country Study
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DOI：
10.17016/ifdp.2005.841
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发表时间：
2005-09
期刊：
影响因子：
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通讯作者：
Alan G. Ahearne;J. Ammer;Brian M. Doyle;Linda S. Kole;Robert F. Martin
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文献类型：
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作者：
Alan G. Ahearne;J. Ammer;Brian M. Doyle;Linda S. Kole;Robert F. Martin
本文考察了1970年以来18个主要工业化国家真实的房价的显著上涨和福尔斯下跌时期，特别关注货币政策的教训。我们发现，真实的房价是顺周期的，与真实的GDP、消费、投资、CPI通胀、预算和经常账户余额以及产出缺口共同变动。房价暴涨之前通常会有一段时间的宽松货币政策，但随后，随着宽松政策的减少和通胀的上升，货币当局会在房价见顶之前开始收紧政策。通过仔细阅读官方报告、讲话和会议记录，我们发现几乎没有证据表明，外国央行对过去真实的房价上涨的反应，除了考虑它们对通胀和产出增长的影响。然而，央行官员在最近的政策辩论中表达了一系列观点，一些人愿意在某些情况下提高政策利率，以试图遏制当前和未来资产价格的飙升，而另一些人则倾向于道德支持或不干涉的方法。最后，我们描述了与房价逆转相关的风险。虽然一些国家的抵押贷款人对房价有很大的风险，但综合证据表明，这种风险本身并不对金融稳定构成重大风险。然而，房地产价格和违约率与商业周期的联动意味着，当银行的其他业务也表现不佳时，抵押贷款的损失可能会更高。
This paper examines periods of pronounced rises and falls of real house prices since 1970 in eighteen major industrial countries, with particular focus on the lessons for monetary policy. We find that real house prices are pro-cyclical—co-moving with real GDP, consumption, investment, CPI inflation, budget and current account balances, and output gaps. House price booms are typically preceded by a period of easing monetary policy, but then diminishing slack and rising inflation lead monetary authorities to begin tightening policy before house prices peak. In a careful reading of official reports, speeches, and minutes, we find little evidence that foreign central banks have reacted to past episodes of rising real house prices beyond taking into account their implications for inflation and output growth. However, central bankers have expressed a range of opinions in the more recent policy debate with some willing in certain cases to raise policy rates to try to stem current and future surges in asset prices while others favor moral suasion or a hands-off approach. Finally, we characterize the risks associated with house-price reversals. Although mortgage lenders in some countries have significant exposure to house prices, the balance of evidence suggests that this exposure does not, in and of itself, pose a significant risk to financial stability. Nevertheless, the co-movement of both property prices and default rates with the business cycle means that losses on mortgage lending are likely to be higher when banks’ other lines of business are also performing poorly.