سیاست های پولی و بازار مسکن در استرالیا

This paper models the role of monetary policy in the Australian housing market using structural vector autoregression model. Our results show that a contractionary monetary policy significantly reduces housing activity but does not exert any significant negative effect on the real house prices. The housing output and real house prices also respond significantly to shocks stemming from housing supply, housing demand and a number of other variables. The findings further suggest that monetary policy rule in Australia takes into account the changes in house price along with the usual targets of inflation and output gap. On the backdrop of the observed high house prices and increased affordability problem, the findings of this paper are expected to shed some lights on the current policy environment pertaining to the Australian housing sector.

The role of housing industry in economic activity has attracted widespread concerns among academics and policy makers in recent years. There has been a plethora of studies examining issues pertaining to growth in house prices, increased indebtedness of the households and the need to evaluate the efficacies of monetary policy to stabilise the housing market (for example, see Calza et al., 2009, Catte et al., 2011, Mishkin, 2007, Vargas-Silva, 2008 and Von Arnim, 2000). On the one hand, the growth of residential investment significantly affects an economy's output level and on the other, housing market developments have an important bearing on the credit market. Recent global financial crisis showed us how the housing market bubbled in the US, followed by large falls in house prices causing substantial losses to the security holders and severe damages to the economy. This invigorated the debate on whether monetary policies should respond to the housing market developments (Mishkin, 2007). Monetary policies have far-reaching implications for the housing market as housing sector is generally more interest-sensitive than the economy as a whole and the degree of such sensitivities can vary through time and across countries (Berger-Thomson & Ellis, 2004). One important aspect of housing market sensitivities to the monetary policy mechanism is that there are both direct and indirect monetary transmission channels affecting the housing market (Maclennan et al., 2000 and Mishkin, 2007). These channels provide a basis for understanding the monetary transmission mechanism, which are central to adopting efficient set of policy instruments for the monetary authorities. Australian monetary policies have seen strategic changes over last several decades. The Reserve Bank of Australia (RBA) pursued monetary targeting from 1976 to 1985; and adopted inflation targeting strategy from 1993. However, there has been ongoing debate on the use of monetary policy to control the asset prices in an Australian context (Otto, 2007). The Reserve Bank of Australia (RBA) pursued regimes of monetary contraction in the 1970s and in the 1980s, followed by phases of expansions beginning from the early 1990s.1 While there have been fluctuations in interest rates over the past decades, house prices typically continued to increase until 2008.2 In particular, growth in house prices were accelerated during 2002–2008 period, making the housing affordability problem even worse. On the backdrop of the observed high house prices and increased affordability problem, it is interesting to see if the changes in monetary policy had any role to play in the movements of house prices and housing output in Australia. While a number of studies are available examining the housing market responses to a variety of fiscal measures (Dvornak and Kohler, 2003, Wood et al., 2006, Wood, 1999 and Yates, 2008), there seems to be an absolute dearth of studies addressing issues of monetary transmission in Australian housing. However, researchers attempted to analyse the monetary transmission effects on the housing markets in the US and in a few other developed countries. Jarocinski and Smets (2008) showed that monetary policy shocks have significant negative effects on real GDP, residential investment and house prices in the US. In a related study, Vargas-Silva (2008) maintained that contractionary monetary policy shocks exert adverse impact on the US housing starts and residential investment. A number of other recent studies also confirmed the price and demand sensitivities of the US housing market to monetary policy shocks (Choudhry, 2010, Erceg and Levin, 2002, Gupta and Kabundi, 2010 and Iacoviello and Neri, 2010). Iacoviello (2002) and Aoki, Proudman, and Vlieghe (2004) found that tight monetary policies lead to a fall in real house prices in six European economies and in the UK, respectively. In another study, Elbourne (2008) showed that tight money causes UK house prices to fall by 0.75% and that a considerable proportion of the drop in consumption caused by a contractionary monetary policy shock is channelled through the changes in house prices. Yang, Wang, and Campbell (2010) examined the heterogeneous effects of monetary policy on Swedish regional house prices over 1991–2002 and found a significant regional effect of monetary policy on housing markets. Relatively fewer studies have been available on the Australian housing sector, which mainly focused on identifying effects on house prices and causes of overvaluation (Dvornak and Kohler, 2007 and Otto, 2007). Abelson, Joyeux, Milunovich, and Chung (2005) found that, in the long-run, real house prices are positively affected by real disposable income and the consumer price index. A major contribution to the monetary transmission and housing literature in the Australian context known to date has been made by Fry, Martin, and Voukelatos (2009). They suggested that while the wealth effects from portfolio shocks in equity markets have been important drivers for overvaluation in Australian housing, the effects from monetary policy have been insignificant. They found that some of the important factors driving the overvaluation of Australian housing include the housing demand shocks, the goods market shocks arising from aggregate demand and the aggregate supply shocks. Fry et al. (2009) study was limited to examining the wealth and monetary policy effect on the overvaluation in Australian housing and equity markets. From econometric viewpoint, the main drawback of the study of Fry et al. (2009) is that it utilises a number of long run restrictions (as a trivial assumption) in their SVAR model, which themselves are subject to statistical tests. In this study, we evaluate the contemporaneous relationship and shock transmission mechanism involving a number of variables including housing demand, housing supply and costs, thereby shedding further lights on Australia's housing policy environment. Also, while Elbourne (2008) examined the price shocks in the UK housing market, the market forces behind such shocks were not identified. In our study, we have identified various shocks by explicitly modelling housing demand and supply equations for Australia. Hence, the scope and policy implications emanating from this study are expected to surpass those of Fry et al. (2009) and Elbourne (2008). In this paper, we analyse the Australian housing market with a broader set of objectives by integrating the monetary transmission mechanism with a number of housing market and macroeconomic variables. The objectives of this study are: First, to examine the dynamic effects of monetary policy on the housing prices and output in Australia; Second, to analyse the reaction of monetary policy to the housing market shocks; third, to examine how shocks to various macroeconomic variables affect house prices and housing output; and fourth, to examine the policy implications for Australian housing market in view of monetary policy and macroeconomic shocks. We adopt a more holistic approach compared to the Fry et al. (2009) paper, by delving into the dynamics of a number of sector specific, macroeconomic and policy variables using a simple housing market model. We develop a structural vector autoregressive (SVAR) model in order to examine the policy efficacies with regard to the monetary transmission mechanism as well as to analyse the dynamic interdependence of a range of macroeconomic and housing market variables. The rest of the paper is structured as follows: Section 2 discusses the theoretical basis for the housing market channel of the monetary policy transmission mechanism. The model based on a SVAR framework used in this study has been presented in Section 3. Section 4 discusses the empirical findings. Section 5 highlights and discusses some policy implications of the findings of this study and Section 6 concludes.

6. Conclusions This study examines the monetary transmission effects on the Australian housing market by estimating a 9-variable SVAR model. The identification scheme used in this paper disentangles the effects of various macroeconomic, housing market and policy shocks while examining the role of these shocks in the Australian housing market and the overall Australian economy. The estimated housing market model based on the contemporaneous relations shows that the short term interest rate and inflation rate are the main determinants of house prices in Australia. Higher interest and inflation rates exert positive and adverse effects on the house prices, respectively. Results also reveal that higher house prices significantly raise the quantity of new houses constructed. The evidence from impulse responses suggests that a contractionary monetary policy shock has an immediate positive impact on the number of new houses followed by a significant fall in housing activities. A contractionary monetary policy shock also significantly raises material costs and house prices for a short period of time. House prices also rise significantly and persistently to the shocks to aggregate real economic activities. While both housing demand and supply shocks boost the constructions of new houses significantly, a shock to inflation is found to be adversely affecting the housing output. Our study clearly indicates that there have been a number of policy avenues both for the Australian government and the central bank. Our findings show that monetary transmission mechanism plays an important role in the Australian housing market thereby requiring RBA to adopt and pursue appropriate and timely set of monetary policy objectives. As shown in our study, supply channel transmissions are indicated with the increases in house prices due to contractionary monetary shocks in the contemporaneous period and with shorter lags. However, declines in both the house prices and housing output over longer time frame exhibit the effects of user cost, wealth and credit channel transmissions. This may warrant prudence for monetary policy decisions in view of Australia's already escalated housing prices.