The dynamic impact of monetary policy on regional housing prices in the United States
Manfred Fischer (),
Michael Pfarrhofer () and
Petra Staufer-Steinnocher ()
Additional contact information
Petra Staufer-Steinnocher: WU Wirtschaftsuniversität Wien
No 2018-7, Working Papers in Economics from University of Salzburg
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
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://www.uni-salzburg.at/fileadmin/multimedia/S ... _Papers/WP_07_18.pdf Full text (application/pdf)
Working Paper: The dynamic impact of monetary policy on regional housing prices in the United States (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ris:sbgwpe:2018_007
Access Statistics for this paper
More papers in Working Papers in Economics from University of Salzburg Contact information at EDIRC.
Bibliographic data for series maintained by Jörg Paetzold ().