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High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach

Wendy Nyakabawo (), Rangan Gupta () and Hardik Marfatia
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Wendy Nyakabawo: Department of Economics, University of Pretoria, Pretoria, South Africa

No 201817, Working Papers from University of Pretoria, Department of Economics

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 Glosten–Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity (GJR-GARCH) model. 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)
Pages: 25 pages
Date: 2018-03
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ure
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