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The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressionsFischer, Manfred M., Huber, Florian, Pfarrhofer, Michael, Staufer-Steinnocher, Petra January 2018 (has links) (PDF)
In this study interest centers on regional differences in the response of housing prices to monetary
policy shocks in the US. We address this issue by analyzing monthly home price data for
metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian
model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the
autoregressive coefficients and factor loadings, while monetary policy shocks are identified using
high-frequency surprises around policy announcements as external instruments. The empirical
results indicate that monetary policy actions typically have sizeable and significant positive effects
on regional housing prices, revealing differences in magnitude and duration. The largest
effects are observed in regions located in states on both the East and West Coasts, notably California,
Arizona and Florida. / Series: Working Papers in Regional Science
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The dynamic impact of monetary policy on regional housing prices in the United StatesFischer, Manfred M., Huber, Florian, Pfarrhofer, Michael, Staufer-Steinnocher, Petra 16 November 2018 (has links) (PDF)
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. / Series: Working Papers in Regional Science
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