The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States

Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael ORCID: and Staufer-Steinnocher, Petra (2019) The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States. Real Estate Economics. pp. 1-33. ISSN 10808620


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This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices. To simultaneously estimate the model parameters and unobserved factors we rely on Bayesian estimation and inference. Policy shocks are identified using high-frequency surprises around policy announcements as an external instrument. Impulse response 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: Article
Additional Information: This article has been accepted for publication and undergone full peer review but has not been through the copyediting, typesetting, pagination and proofreading process, which may lead to differences between this version and the Version of Record. Please cite this article as
Divisions: Departments > Sozioökonomie
Version of the Document: Accepted for Publication
Depositing User: ePub Administrator
Date Deposited: 27 Feb 2019 08:54
Last Modified: 25 Oct 2019 09:22
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