بازار مسکن در بریتانیا و مکانیزم انتقال سیاست پولی: رویکرد SVAR

I estimate an eight variable structural vector autoregression (SVAR) model of the UK economy based upon that of Kim and Roubini [Kim, S., Roubini, N., 2000. Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach. J. Monet. Econ. 45(3), 561–586] for the purpose of investigating the role of the housing market in the transmission of monetary policy. Retail sales fall by just under 0.4% following a temporary positive 100 basis points shock to short-term domestic interest rates; inflation is also lowered. House prices fall by 0.75%. House price shocks increase consumption, the price level and interest rates. Combining the central estimates for interest rate and house price shocks suggests that house price movements can explain about one-seventh of the fall in consumption following an interest rate shock. A counterfactual simulation comes to a similar figure.

The level of household consumption spending depends on many factors: wealth, (lifetime) income and the real interest rate are among the most important. Whilst there has been a lot of discussion of the wealth effects due to the large gains and subsequent fall of stock markets in the last ten years (for an international study see IMF, 2002; or, for the US, Ludvigson and Steindel, 1999), there has been less discussion of the wealth effects of gains in the housing market. The UK has seen very rapid house price growth over recent years: prices rose by over 15% in 2003, over 25% in 2002, and over 10% in 2001 according to the Halifax House Price Index. In 1995 total household wealth in the UK was £3134 billion, 35% of which was real estate (Banks and Smith, 2000) and only 9% was in the form of direct stock holdings. The relative amount of household wealth held in real estate suggests more attention should be devoted to the wealth effects caused by rising house prices. All in all, when the rapid house price growth of the last ten years is coupled with the fact that housing wealth is levered through mortgages, the effects of house price growth on net wealth are potentially large. For the US, Maki and Palumbo (2001) find that the propensity to consume out of household net wealth is between 3% and 5%, which has had substantial effects on the US economy. Case et al. (2005) also find that housing wealth is more important that stock market across a number of developed economies. As with other assets, house prices are affected by changes in interest rates. If house prices are influenced by interest rates and consumption depends on housing wealth, there is a channel of monetary policy transmission through house prices. This paper estimates the proportion of changes in consumption and prices that can be attributed to changes in housing wealth. That is, the paper attempts to set an upper bound on the overall importance of housing wealth and housing market related credit imperfections in the UK monetary transmission mechanism. In the empirical part of this paper I employ a two-stage approach: firstly estimating the response of house prices to an interest rate shock, and then estimating the response of consumption to a house price shock. Under the assumption that consumption reacts in the same way to changes in housing wealth regardless of the cause of the change in house prices, the estimates of the two responses can be combined to give an estimate of the proportion of the consumption response to interest rates that can be attributed to changes in housing wealth. The two-stage approach has an advantage over other approaches whereby a different model is estimated for each element of the transmission mechanism. I find that changes in house prices following a monetary shock account for about 15% of changes in consumption and also contribute to price changes. I also estimate a counterfactual simulation which leads to a similar value. The remainder of the paper is organized as follows. Section 2 provides a brief overview of the literature on monetary policy and the housing market. Section 3 gives a description of the data. Section 4 details the structural vector autoregression (SVAR) model used to investigate the role played by house prices. Section 5 discusses the results. Section 6 concludes.

I estimated an 8 variable structural VAR model for the UK based upon Kim and Roubini (2000) to investigate the role played by house prices in the transmission mechanism of monetary policy. By estimating a structural VAR with an economic interpretation to each of the structural shocks, the model I have estimated can generate both monetary policy shocks and house price shocks within the same model. This has the advantage that the identified house price shocks are, by construction, not correlated with the monetary policy shocks. Estimating different models for looking at monetary policy and house price shocks may suffer from this problem. Evidence from impulse responses suggests that housing wealth does play a role, although not as large as suggested by some other authors. For both a two-step approach and for a counterfactual simulation we estimate that about 12–15% of the drop in consumption following a contractionary monetary policy shock works through changes in house prices; the uncertainty surrounding these point estimates is large so should only be taken as a guide. The comparable estimate of Giuliodori (2005) attributes about 60–70% of changes in consumption to house price movements. My results do not preclude the housing market playing an important role in the monetary transmission mechanism because of the direct effects that work through interest payments on mortgages, but the results presented here do not support the claims that the credit and wealth channels of monetary policy transmission account for most of output variation in response to monetary policy.