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Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets

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To capture several features of housing booms, we look at three variables: real credit to the privatesector, residential investment and real house prices. Apart from interest rates, all variables are inlogs. The data is taken from the OECD Economic Outlook, the IMF International FinancialStatistics (IFS), and the BIS Macro database. The variables and data sources are listed in theappendix. We estimate the model on quarterly data over the period of the Great Moderation from1984 Q1 to 2007 Q2 with two lags.5We therefore exclude the turbulent years of the highination period from the late 1970s to the early 1980s and of...
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Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets

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