House Prices and Stock Prices: Different Roles in the US Monetary Transmission Mechanism*
使用结构向量自回归模型分析美国数据，发现房价和股价在货币政策传导中扮演不同角色：股价对紧缩政策反应迅速，房价反应较慢；货币政策对股价的系统性反应更强，但房价对GDP和通胀波动的贡献更大。
Abstract We analyze the role of house prices and stock prices in the monetary‐policy transmission mechanism in the US, using a structural vector autoregressive model. If we allow the interest rate and asset prices to react simultaneously to news, we find different roles for house prices and stock prices in the monetary transmission mechanism. Following a contractionary monetary‐policy shock, stock prices fall immediately, while the response in house prices is more gradual. Regarding the systematic response in monetary policy, stock prices play a more important role than house prices. As a consequence, house prices contribute more than stock prices to fluctuations in gross domestic product and inflation.