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House prices and macroprudential policy in an estimated DSGE model of New Zealand

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dc.contributor.author Funke, Michael
dc.contributor.author Kirkby, Robert
dc.contributor.author Mihaylovski, Petar
dc.date.accessioned 2017-05-24T01:10:26Z
dc.date.accessioned 2022-07-11T21:29:53Z
dc.date.available 2017-05-24T01:10:26Z
dc.date.available 2022-07-11T21:29:53Z
dc.date.copyright 2017
dc.date.issued 2017
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/20225
dc.description.abstract We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to New Zealand. We find that the main historical drivers of house prices are shocks specific to the housing sector. While our estimates show that monetary policy has large spillover effects on house prices, it does not appear to have been a major driver of house prices in New Zealand. We consider macroprudential policies, including the loan-to-value restrictions that have been implemented in New Zealand. We find that loan-to-value restrictions reduce house prices with negligible effects on consumer prices, suggesting that they can be used without derailing monetary policy. We estimate that the loan-to-value restrictions imposed in New Zealand in 2013 reduced house prices by 3.8 per cent and that greater forward guidance on their duration would have made them more effective. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.relation.ispartofseries SEF Working paper ; 09/2017 en_NZ
dc.subject Macroprudential policies en_NZ
dc.subject Housing en_NZ
dc.subject DSGE en_NZ
dc.subject Bayesian estimation en_NZ
dc.subject New Zealand en_NZ
dc.title House prices and macroprudential policy in an estimated DSGE model of New Zealand en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit School of Economics and Finance en_NZ
vuwschema.subject.anzsrcfor 140207 Financial Economics en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 380107 Financial economics en_NZ
dc.rights.rightsholder http://www.victoria.ac.nz/sef/research/sef-working-papers en_NZ

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