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The dynamic impact of monetary policy on regional housing prices in the United States

Manfred Fischer (), Florian Huber, Michael Pfarrhofer () and Petra Staufer-Steinnocher ()
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Petra Staufer-Steinnocher: WU Wirtschaftsuniversität Wien

No 2018-7, Working Papers in Economics from University of Salzburg

Abstract: This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices across metropolitan and micropolitan regions. To simultaneously estimate the model parameters and unobserved factors we rely on Bayesian estimation and inference. Policy shocks are identified using high-frequency suprises around policy announcements as an external instrument. Impulse reponse functions reveal differences in regional housing price responses, which in some cases are substantial. The heterogeneity in policy responses is found to be significantly related to local regulatory environments and housing supply elasticities. Moreover, housing prices responses tend to be similar within states and adjacent regions in neighboring states.

Keywords: Regional housing prices; metropolitan and micropolitan regions; factor-augmented vector autoregressive model; Bayesian estimation; high-frequency identification (search for similar items in EconPapers)
JEL-codes: C11 C32 E52 R31 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2018-11-16
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ure
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