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
Hardik Marfatia: Department of Economics, Northeastern Illinois University, Chicago, USA
No 201817, Working Papers from University of Pretoria, Department of Economics
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)
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201817
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