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

Regional Science and Urban Economics, 2011, vol. 41, issue 3, 293-304

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)
Date: 2011
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Citations: View citations in EconPapers (27)

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Working Paper: Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:regeco:v:41:y:2011:i:3:p:293-304

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