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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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