... for these countries the existence of cointegration could not be rejected. We therefore specify the VAR models in the level of the variables. Nevertheless, we neither impose the number of cointegrating ... countries: the fall of residential property prices is significantly different from zero even at the 95% level in Canada, Finland, the Netherlands, Norway, Sweden, Switzerland, the UK and the US. ... significant and shorter-lived than the GDP decline in the other group. The reactions of the other variables to a monetary policy shock are essentially the same. A third important characteristic of the...