The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States

@article{Fischer2019TheDI,
  title={The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States},
  author={M. Fischer and Florian Huber and Michael Pfarrhofer and Petra Staufer-Steinnocher},
  journal={Real Estate Economics},
  year={2019}
}
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… Expand

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