at Google ScholarTitle data
Drescher, Christian ; Erler, Alexander ; Križanac, Damir:
The Fed's TRAP : A Taylor-type Rule with Asset Prices.
In: Journal of Economics and Finance.
Vol. 37
(2013)
Issue 1
.
- pp. 136-149.
ISSN 1055-0925
DOI: https://doi.org/10.1007/s12197-011-9173-z
Abstract in another language
This paper examines if US monetary policy responds to asset prices. Using real-time data we estimate a Taylor-type rule with an asset price variable. This variable refers to real estate prices, considering that those exhibit an important share in households’ asset portfolio. Moreover, especially real estate prices seem to have a close connection to monetary conditions. To analyze this link we describe price movements in the real estate price index by using a specific cycle dating procedure. The resulting variable indicates quasi real time bull and bear markets, and helps to evaluate the link between real estate market cycles and monetary policy. Our full-sample estimation results give reason to suppose that the US monetary policy responds in a pro-cyclical way to real estate prices. This result is supported by our rolling sub-sample estimations. Additionally, these also point to decelerating countermeasures of the Fed previous to asset price peaks.
Further data
| Item Type: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Keywords: | Fed; Monetary policy; Taylor rule; Asset Price Cycles; Real Estate |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance |
| Result of work at the UBT: | Yes |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 31 Mar 2015 07:35 |
| Last Modified: | 24 Feb 2016 11:51 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/9523 |