EconPapers    
Economics at your fingertips  
 

The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions

Manfred Fischer, Florian Huber, Michael Pfarrhofer and Petra Staufer-Steinnocher ()

No 2018/01, Working Papers in Regional Science from WU Vienna University of Economics and Business

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.

Keywords: Regional housing prices; metropolitan regions; Bayesian estimation; high-frequency identification (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-cba, nep-mon and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
https://epub.wu.ac.at/6065/ original version (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://epub.wu.ac.at/6065/ [308 PERMANENT REDIRECT]--> https://epub.wu.ac.at/id/eprint/6065 [302 FOUND]--> https://research.wu.ac.at/en/publications/19bc016d-b6e4-41e3-ae64-bb18413f6b49)

Related works:
Working Paper: The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wiw:wus046:6065

Access Statistics for this paper

More papers in Working Papers in Regional Science from WU Vienna University of Economics and Business Welthandelsplatz 1, 1020 Vienna, Austria.
Bibliographic data for series maintained by WU Library ().

 
Page updated 2025-03-22
Handle: RePEc:wiw:wus046:6065