Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements

Charles Leung and Wing Leong Teo

MPRA Paper from University Library of Munich, Germany

Abstract: A multi-region, dynamic stochastic general equilibrium (MRDSGE) model is built to show that differences in the price elasticity of housing supply can be related to stylized facts on regional differences in (1) house price level, (2) house price volatility, (3) monetary policy propagation mechanism and (4) household asset portfolio. In addition, regional house prices are found to move more closely with regional fundamentals than with the national GDP. The correlation between the national stock price and the regional housing price also vary significantly across regions, which suggests that optimal portfolio should be region specific.

Keywords: regional economic difference; monetary policy; housing market; region-specific portfolio (search for similar items in EconPapers)
JEL-codes: E32 E52 R10 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-cba, nep-geo, nep-mon and nep-ure
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Related works:
Journal Article: Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28216

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