The transmission of monetary policy to the Spanish real estate market
DOI:
https://doi.org/10.17561/ree.n2.2023.7914Keywords:
monetary policy, transmission mechanism, transmission channels, real estate, interest rates, data panel, fixed effectsAbstract
Price stability in the real-estate market is not explicitly within the specific goals of the European Central Bank, except for the effects which bubbles and their bursts may have in financial stability and the consumer price index. Economists and authorities disagree in whether monetary policy tools should be employed to prevent the creation of bubbles in the real-estate market or if the supervisory and macroprudential policy should be the one intended to intervene in this and many others asset markets. However, although monetary authorities do not directly intervene in the real-estate market with monetary policies, their decisions affect housing prices and performed transactions by means of different transmission channels. In this work, we carry out an empirical panel-data analysis of the Spanish real-estate market at a province-level. We worked with quarterly series from 2004 to 2022, both inclusive, to find out evidence of the effects of monetary variables on housing prices. Several different models are applied to the global market, the new housing market and the used housing market. Moreover, eminently touristic and non-touristic provinces are analysed separately. We found highly significant empirical evidence of the effects of monetary variables (interest rates and liquidity) and macroprudential policy on housing prices, both in touristic and non-touristic areas, with some exceptions in the used housing market which follows its own dynamics.
Downloads
References
REFERENCIAS
Adrian, T. y Shin, H.S. (2010). The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09. Federal Reserve Bank of New York Staff Reports, no. 439 (Mar. 2010; rev. Apr. 2010). https://doi.org/10.2139/ssrn.1576590
Aguiar, A. y Drumond, I. (2007). Business Cycle and Bank Capital: Monetary Policy Transmission under the Basel Accords. FEP Working Papers from Universidade do Porto.
Aiyar, S., Calomiris, C.W. y Wieladek, T. (2015). How does credit supply respond to monetary policy and bank minimum capital requirements?, European Economic Review, 2015. https://doi.org/10.1016/j.euroecorev.2015.07.021
Akin, O., García Montalvo, J., García Villar, J., Peydró, J.L. y Raya, J.M. (2014). The real estate and credit bubble: evidence from Spain, Journal of the Spanish Economic Association, SERIEs (2014) 5:223–243. https://doi.org/10.1007/s13209-014-0115-9
Altunbas, Y.; Kara, A. y Márquez-Ibáñez, D. (2010). Large debt financing: Syndicated loans versus corporate bonds. The European Journal of Finance, 16(5), pp. 437–458. https://doi.org/10.1080/13518470903314394
Álvarez, I.C., Barbero, J. y Zofio, José L. (2017). A Panel Data Toolbox for MATLAB, Journal of Statistical Software, January 2017, Volume 76, Issue 6. https://doi.org/10.18637/jss.v076.i06
Bahaj, S., Foulis, A. y Pinter, G. (2020). Home values and Firm Behavior, American Economic Review 2020, 110(7): 2225–2270. https://doi.org/10.1257/aer.20180649
Baltagi, B. H. (2021). Econometric Analysis of Panel Data. Sixth edition. Cham, Switzerland: Springer, 2021. https://doi.org/10.1007/978-3-030-53953-5
BCE (2011). La política monetaria del BCE, Banco Central Europeo (ECB). Frankfurt am Main.
Bernanke, B.S. (2002). Asset-Price "Bubbles" and Monetary Policy, FRB Speech, The Federal Reserve Board, October, 15, 2002.
Bernanke, B. y Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, Volume 9, Number 4 (Fall 1995), pp. 27–48. https://doi.org/10.3386/w5146
Carro, A. (2022). Could Spain be less different? Exploring the effects of macroprudential policy on the house price cycle. Documentos de Trabajo nº. 2230, Banco de España, Eurosistema, 2022. https://doi.org/10.2139/ssrn.4220420
Cerutti, E., S. Claessens, and L. Laeven (2017). The use and effectiveness of macroprudential policies: New evidence, Journal of Financial Stability, 28, pp. 203–224. https://doi.org/10.1016/j.jfs.2015.10.004
Elhorst, J. P. (2014). Spatial econometrics: from cross-sectional data to spatial panels. Springer. https://doi.org/10.1007/978-3-642-40340-8
Gertler, M. y Hubbard, R.G. (1988). Financial Factors in Business Fluctuations. Federal Reserve Bank of Kansas City, Financial Market Volatility, 1988. https://doi.org/10.3386/w2758
Greenwald, D.L. (2018). The mortgage credit channel of macroeconomic transmission, Research Paper 5184–16, MIT Sloan.
Greenwald, D.L. (2021). The Mortgage Credit Channel of Macroeconomic Transmission, MIT Sloan, IMF Annual Macro-Finance Research Conference, September 2021
Jordà, O., Schularick, M. y Taylor, A.M. (2015). Interest Rates and House Prices: Pill or Poison?, FRBSF Economic Letter, 2015–25, August 3, 2015.
Kashyap, A. y Stein, J. (1994). Monetary Policy and Bank Lending, en Mankiw, G. ed.) (1994). Monetary Policy, University of Chicago Press (Chicago), pp.221–261. https://doi.org/10.3386/w4317
Maddaloni, A. y Peydró, J. L. (2010). Bank Risk-Taking, Securitization, Supervision and Low Interest Rates Evidence from the Euro Area and the U.S. Lending Standards. ECB Working Paper Series Nº 1248 (Oct. 2010). https://doi.org/10.2139/ssrn.1679689
Meltzer, A. H. (1995). The Transmission Process. Working paper, Carnegie Mellon University.
Obstfeld, M., Shambaugh, J.C. y Taylor, A.M. The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility. The Review of Economics and Statitstics, Aug., 2005, vol. 87, No. 3 (Aug. 2005), pp. 423–438. The MIT Press. https://doi.org/10.1162/0034653054638300
Popov, A. (2013). Monetary Policy, Bank Capital and Credit Supply, A Role for Discouraged and Informally Rejected Firms. ECB Working Paper Nº 1593 (Sep. 2013). https://doi.org/10.2139/ssrn.2327702
Rudebush, G.D. (2005). Monetary Policy and Asset Price Bubbles, FRBSF Economic Letter, Number 2005–18, August 5, 2005.
Stein, J.C. (2014). Incorporating Financial Stability Considerations into a Monetary Policy Framework, International Research Forum on Monetary Policy Sponsored by the European Central Bank, the Federal Reserve Board, the Center for Financial Studies at the Goethe University, and the Georgetown Center for Economic Research at Georgetown University, Washington, D.C., March 21, 2014.
Torres Gutiérrez, J.J. (2016). Los mecanismos de transmisión de la política monetaria y el acceso a financiación de las empresas. Tesis doctoral. Universidad de Málaga.
Van den Heuvel, S. J. (2002 a). The Bank Capital Channel of Monetary Policy. University of Pennsylvania Working Paper.
Van den Heuvel, S. J. (2002 b). Does bank capital matter for monetary transmission? (session 3: Financial markets and institutions). Federal Reserve Bank of New York Economic Policy Review, 8(1), pp. 259–265.
Van den Heuvel, S. J. (2007). The Bank Capital Channel of Monetary Policy. University of Pennsylvania Working Paper.
Published
Issue
Section
License
Copyright (c) 2023 JUAN JOSE TORRES GUTIERREZ
This work is licensed under a Creative Commons Attribution 4.0 International License.
- Authors maintain the copyright, but they guarantee the journal its right for publication, that is under Creative Commons Licence, permitting others share the work, whereas clearly indicating the author and the first publication of the journal.
- Authors could adopt non-exclusive licence agreements for delivering the published version, whereas clearly indicating the first publishing in Revista de Estudios Empresariales. Second Era.
- Authors are encouraged to spread their works through Internet before and during the sending process, in order to make interesting scientific discussions that could increase the cites of the published work (Open Citation Project).
Revista de Estudios Empresariales. Second Era, uses PKP Preservation Network (PN).
