Quotation Fischer, Manfred M., Huber, Florian, Pfarrhofer, Michael, Staufer-Steinnocher, Petra. 2018. The dynamic impact of monetary policy on regional housing prices in the United States.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title The dynamic impact of monetary policy on regional housing prices in the United States
Year 2018
URL http://epub.wu.ac.at/6658/
JEL C11, C32, E52, R31

Associations

Projects
Modeling and forecasting exchange rates in an unified econometric framework
People
Fischer, Manfred M. (Details)
Huber, Florian (Former researcher)
Pfarrhofer, Michael (Details)
Staufer-Steinnocher, Petra (Details)
Organization
Institute for Economic Geography and GIScience IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1807 Economic geography (Details)
1810 Geographic Information Systems (GIS) (Details)
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