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Monetary policy surprises : house prices and household credit in Norway

Høyem, Othelie Samdahl; Lind, Ina Manchester
Master thesis
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http://hdl.handle.net/11250/2477758
Issue date
2017
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  • Master of Science [835]
Abstract
In this master thesis we analyze the effects of monetary policy shocks on economic

and financial variables in Norway, where we focus in particular on the responses of

house prices and household credit. Our main approach involves combining the

traditional structural VAR analysis with high frequency identification of policy

shocks. We identify monetary policy shocks using changes in forward rate

agreements over a 30-minute window surrounding policy announcements by

Norges Bank, which we use as external instruments in the SVAR. The usual

recursive identification of the model is rejected based on an analysis of the impulse

responses and the issue of simultaneity. We find that a contractionary monetary

policy shock has a large and negative impact on house prices in Norway, while the

response of credit is modest and positive. We also find evidence supporting that

monetary policy operates through a credit channel.
Description
Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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