Some previous studies have looked at whether the structure of the mortgage market plays a role in the propagation of monetary policy shocks. Calza et al (2009) and Assenmacher-Wesche and Gerlach (2010) nd that higher mortgage market development ampli es the effects of monetary policy shocks on housing variables. Both studies estimate panel VARs across two groups of countries, classi ed according to their degree of mortgage market development using various cross-sectional indicators. Our approach is similar to theirs but differs in three important ways. First, we identify the effect of capital in ows shocks in addition to monetary policy shocks. Second, we use sign restrictions rather than zero restrictions.
