NDLI: The Dynamic Impact of Monetary Policy on Regional Housing Prices in the US: Evidence Based on Factor-augmented Vector Autoregressions

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The Dynamic Impact of Monetary Policy on Regional Housing Prices in the US: Evidence Based on Factor-augmented Vector Autoregressions

Content Provider	Scilit
Author	Fischer, Manfred M. Huber, Florian Pfarrhofer, Michael Staufer, Petra
Copyright Year	2018
Description	Journal: SSRN Electronic Journal 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.
Related Links	http://arxiv.org/pdf/1802.05870 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3124815
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3124815
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2018-02-18
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Mathematical Social Sciences Regional Housing Prices Metropolitan Regions Bayesian Estimation
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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