The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States. (8th March 2019)

• Record Type: Journal Article
• Authors: Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; Staufer‐Steinnocher, Petra
• Is Part Of: Real estate economics. Volume 49:Number 4(2021)
• Page Start: 1039
• Page End: 1068
• Publication Date: 2019-03-08
• Subjects: Real estate business -- United States -- Periodicals; Urban economics -- Periodicals; 333.33097
• DOI: 10.1111/1540-6229.12274
• Languages: English
• ISSNs: 1080-8620

Abstract

Abstract: This article 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.