The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
This article uses a factor‐augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices. To simultaneously estimate the model parameters and unobserved factors, we rely on Bayesian estimation and inference. Policy shocks are identified using high‐frequency...
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| Veröffentlicht in: | Real estate economics 2021-12, Vol.49 (4), p.1039-1068 |
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| container_end_page | 1068 |
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| container_issue | 4 |
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| container_title | Real estate economics |
| container_volume | 49 |
| creator | Fischer, Manfred M. Huber, Florian Pfarrhofer, Michael Staufer‐Steinnocher, Petra |
| description | This article uses a factor‐augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices. To simultaneously estimate the model parameters and unobserved factors, we rely on Bayesian estimation and inference. Policy shocks are identified using high‐frequency surprises around policy announcements as an external instrument. Impulse response functions reveal differences in regional housing price responses, which in some cases are substantial. The heterogeneity in policy responses is found to be significantly related to local regulatory environments and housing supply elasticities. Moreover, housing prices responses tend to be similar within states and adjacent regions in neighboring states. |
| doi_str_mv | 10.1111/1540-6229.12274 |
| format | Article |
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| ispartof | Real estate economics, 2021-12, Vol.49 (4), p.1039-1068 |
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| language | eng |
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| source | Wiley Online Library All Journals; Business Source Complete |
| subjects | Autoregressive models Heterogeneity Housing Housing prices Impulse response Monetary policy Response functions |
| title | The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States |
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