The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries

摘要

This paper studies the impact of conventional and unconventional monetary policy on house prices in the Scandinavian countries, using sign and zero restrictions in a Bayesian structural vector autoregressive model, covering the policy rate and balance sheet policies of the central banks over a period of nearly 30 years. Expansionary shocks to the policy rate and the balance sheet both have a positive impact on house prices in the Scandinavian countries, but the effects vary greatly within each country. In all three countries the effect of balance sheet shocks on house prices peaks higher and is more persistent than the response of policy rate shocks. In Sweden and Denmark the impact is more sluggish in case of balance sheet shocks while in Norway the speed of the reaction is similar in case of both types of monetary policy shock.