Journal of Central Banking Theory and Practice
Time-Varying Effects of Monetary Policy on House Prices in China: Evidence from 2008 to 2025 with the TVP-VAR Approach
Abstract This paper investigates the dynamic and nonlinear effects of monetary policy on house prices in China from 2008 to 2025. Utilizing a Bayesian Time-Varying Parameter Vector Autoregression (TVPVAR) model with stochastic volatility, we estimate the evolution of policy transmission in terms of shock magnitude and time-lag. By conducting 20,000 MCMC simulations, the study identifies significant structural shifts in the transmission mechanism. The results show that while the stimulative effect of targeted housin …