The elasticity of house prices to monetary policy changes, e.g. via interest rates, is from a theoretical perspective and in the long-run negative. However, house prices adapt in the short-run dynamically to economic, financial, institutional and demographic factors. In this paper, we confirm the aforementioned elasticity for the Nordic housing markets, but provide evidence of drastic deviations from the negative relationship when employing rolling regressions in search for time-varying betas. Our empirical results show that recessionary and expansionary policy regimes play a much more important role in the development of house prices in Finland, Sweden and Norway, than in Denmark. We show further that the relationship between house prices and monetary policy is discontinuous over time, with large deviations from the long-term beta during the last decade.