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
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:6065 |
| Date | January 2018 |
| Creators | Fischer, Manfred M., Huber, Florian, Pfarrhofer, Michael, Staufer-Steinnocher, Petra |
| Publisher | WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://epub.wu.ac.at/6065/ |
Page generated in 0.0019 seconds