Quotation Fischer, Manfred M., Huber, Florian, Pfarrhofer, Michael, Staufer-Steinnocher, Petra. 2018. The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions.


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Abstract

In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the autoregressive coefficients and factor loadings, while monetary policy shocks are identified using high-frequency surprises around policy announcements as external instruments. The empirical results indicate that monetary policy actions typically have sizeable and significant positive effects on regional housing prices, revealing differences in magnitude and duration. The largest effects are observed in regions located in states on both the East and West Coasts, notably California, Arizona and Florida.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
Year 2018
URL http://epub.wu.ac.at/6065/
JEL C11, C32, E52, R31

Associations

Projects
Modeling and forecasting exchange rates in an unified econometric framework
People
Fischer, Manfred M. (Details)
Huber, Florian (Details)
Pfarrhofer, Michael (Details)
Staufer-Steinnocher, Petra (Details)
Organization
Institute for Economic Geography and GIScience IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1807 Economic geography (Details)
1810 Geographic Information Systems (GIS) (Details)
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