Monetary policy and residential housing bubbles in Japan: A quantile regression approach

Abstract

Employing quantile regression approach, this paper examines the relationship between monetary policy and housing bubbles using residential property market data in Japan from 2008― 2015. The results show that the change in monetary policies significantly affected the housing returns when the returns are at average and high levels, such as in cities of Tokyo, Nagoya, Osaka and Aichi prefecture. However, there was none of such effect at the national level. Regarding of the adjustment of house prices to new monetary information, at the national level the new monetary information is reflected when the housing returns are at the average level. However, in some cities such as Nagoya, Osaka and Tokyo, the information is reflected when the housing returns are at the low level. These findings have not been documented in literature and will be useful for policy makers as well as property investors in Japan.