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

Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael and Staufer-Steinnocher, Petra (2018) The dynamic impact of monetary policy on regional housing prices in the United States. Working Papers in Regional Science, 2018/09. WU Vienna University of Economics and Business, Vienna.

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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.

Item Type: Paper
Additional Information: This paper is a substantially revised version of: Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael and Staufer-Steinnocher, Petra (2018) The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions. Working Papers in Regional Science, 2018/01. WU Vienna University of Economics and Business, Vienna (http://epub.wu.ac.at/id/eprint/6065).
Keywords: Regional housing prices, metropolitan and micropolitan regions, factor-augmented vector autoregressive model, Bayesian estimation, high-frequency identification
Classification Codes: JEL C11, C32, E52, R31
Divisions: Departments > Sozioökonomie > Wirtschaftsgeographie und Geoinformatik > Fischer
Depositing User: Gertraud Novotny
Date Deposited: 19 Nov 2018 09:21
Last Modified: 23 Nov 2018 20:40
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/88042/
URI: http://epub.wu.ac.at/id/eprint/6658

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