HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY

Wendy Nyakabawo, Rangan Gupta and Hardik A. Marfatia
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Wendy Nyakabawo: Department of Economics, University of Pretoria, Pretoria, 0002, SOUTH AFRICA
Hardik A. Marfatia: Department of Economics, Northeastern Illinois University, BBH 344G, 5500 N. St. Louis Avenue, Chicago, IL 60625, USA

Advances in Decision Sciences, 2018, vol. 22, issue 1, 204-229

Abstract: This paper explores the impact of monetary policy and macroeconomic surprises on the U.S housing market returns and volatility at the Metropolitan Statistical Area (MSA) and aggregate level using a GJR (or threshold generalized autoregressive conditional heteroscedasticity (GARCH)) model of Glosten, Jagannathan and Runkle (1993). Using daily data and sampling periods which cover both the conventional and unconventional monetary policy periods, empirical results show that monetary policy surprises have a greater impact on the volatility of housing market returns across time with particularly pronounced effect during the conventional monetary policy period. We also show that macroeconomic surprises do not have a significant impact on housing returns for most MSAs for the full sample, conventional and unconventional monetary policy periods.

Keywords: Monetary policy and macroeconomic surprises; Asymmetric GARCH; Housing market returns and volatility (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 E52 R31 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:aag:wpaper:v:22:y:2018:i:1:p:204-229

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