Monetary Policy, Housing, and Heterogeneous Regional Markets
构建了一个异质性代理人VAR模型，将全国货币金融市场与区域住房市场通过抵押贷款利率联系起来，发现货币政策传导存在时变性和状态依赖性，导致长期且多变的滞后效应。
We quantify the importance of heterogeneity for monetary policy using a new heterogeneous-agent VAR (HAVAR) model that integrates national monetary/financial markets with regional housing markets via the mortgage rate. Although the HAVAR model has linear regional VARs, its aggregate impulse responses exhibit two nonlinearities: (1) time variation, stemming from aggregation over heterogeneous regions, and (2) state dependence on initial economic conditions in regions. Thus, monetary policy has “long and variable lags” because monetary transmission depends on the extent and nature of regional heterogeneity, which both vary over time. The model is estimated with data for U.S. regions from 1986 to 1996 and simulated to show how coastal housing booms might influence the efficacy of monetary policy.