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Bostadsmarknadens roll i den penningpolitiska transmissionsmekanismen i Sverige
Linköping University, Department of Management and Engineering, Economics.
Linköping University, Department of Management and Engineering, Economics.
2017 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesisAlternative title
The role of housing in the monetary transmission mechanism in Sweden (English)
Abstract [sv]

Denna studie undersöker bostadsmarknadens roll i den penningpolitiska transmissionsmekanismen i Sverige med bakgrund av rådande penningpolitiska miljö som karaktäriseras av negativa räntenivåer. Med hjälp av en strukturell VAR-modell (SVAR) undersöks hur en penningpolitisk åtgärd i form av en chockhöjning av reporäntan påverkar den reala ekonomin och vilken slags roll bostadspriser har i transmissionen. SVAR-systemet i studien innehåller sex endogena variabler, vilka motiveras utifrån en enkel makroekonomisk modell baserad på Ny-Keynesiansk teori om en liten öppen ekonomi. Restriktioner på residualernas kovariansmatris tillåts förekomma på kort såväl som på lång sikt i samband med identifiering av systemet. Studiens resultat tyder på att bostadsmarknaden utgör en signifikant kanal i transmissionen av penningpolitiken i Sverige i rådande miljö. Impuls-responsanalyser visar att en penningpolitisk chock motsvarande en procentuell enhetsökning av reporäntan genererar en signifikant nedgång i bostadspriser på drygt sex procent. Dessutom bidrar en penningpolitisk chock med knappt femton procent till förändringen i variansen hos bostadspriser. Detta bekräftar att penningpolitiken har en signifikant påverkan på bostadsmarknaden. Vidare visar variansfaktorisering att en chock på bostadsmarknaden ger påtaglig effekt på variationen i variabler som representerar den reala ekonomin.  Således kan en potentiell bostadsmarknadskanal identifieras i den penningpolitiska transmissionsmekanismen. Resultaten från denna studie är starkare än resultat från tidigare studier gjorda inom forskningsområdet.

Abstract [en]

The study investigates the role of housing in the monetary transmission mechanism in Sweden with background of the current monetary environment which is characterized by negative interest rates. By using a structural VAR (SVAR) the study examines the effect of a monetary policy innovation to the real economy when the housing market is included in the model. The SVAR system consists of six endogenous variables, which are included based on the theoretical set up of a New-Keynesian small open economy model. In order to identify the system restrictions are imposed on the short run as well as on the long run covariance matrix of the residuals. The results of the study imply that the housing market plays a significant role in the monetary transmission mechanism in Sweden today. Impulse response analysis show that a monetary policy shock of a one percent increase in the repo rate generates a significant decrease in house prices, corresponding to approximately six percent. Moreover, the monetary policy shock contributes to the variance of the house prices by fifteen percent according to the variance decomposition analysis. This confirms that monetary policy has a significant impact on the housing market. Furthermore, a second variance decomposition shows that a shock in house prices has a significant effect on the variation in variables representing the real economy. Thus, a potential housing channel can be identified in the monetary transmission mechanism. The results of the study are stronger compared to previous studies within the field.

Place, publisher, year, edition, pages
2017. , 53 p.
Keyword [en]
SVAR, monetary policy, housing, Sweden
Keyword [sv]
SVAR, penningpolitik, bostadsmarknaden, Sverige
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-138197ISRN: LIU-IEI-FIL-A--17/02598--SEOAI: oai:DiVA.org:liu-138197DiVA: diva2:1108663
Subject / course
Master Thesis in Business and Economics Programme (Economics)
Presentation
2017-06-01, Linköping, 17:00 (Swedish)
Supervisors
Examiners
Available from: 2017-06-13 Created: 2017-06-12 Last updated: 2017-06-13Bibliographically approved

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