Monetary Policy and the Housing Market: A Structural Factor Analysis

Matteo Luciani

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This paper studies the role of the Federal Reserve’s policy in the recent boom and bustof the housing market, and in the ensuing recession. By estimating a Structural DynamicFactor model on a panel of 109 US quarterly variables from 1982 to 2010, we find that,although the Federal Reserve’s policy between 2002 and 2004 was slightly expansionary,its contribution to the recent housing cycle was negligible. We also show that a morerestrictive policy would have smoothed the cycle but not prevented the recession. Wethus find no role for the Federal Reserve in causing the recession.

Keywords: structural factor model; business cycle; monetary policy; housing (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 R20 (search for similar items in EconPapers)
Pages: 24 p.
Date: 2012-10
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ure
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Monetary Policy and the Housing Market: A Structural Factor Analysis (2015)
Working Paper: Monetary Policy, and the Housing Market: A Structural Factor Analysis (2013)
Working Paper: Monetary Policy and the Housing Market: A Structural Factor Analysis
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