The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
使用因子增强向量自回归模型和贝叶斯估计，研究货币政策冲击对美国各区域房价的影响，发现区域间反应差异显著，且与当地监管环境和住房供给弹性有关。
Abstract This article uses a factor‐augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices. To simultaneously estimate the model parameters and unobserved factors, we rely on Bayesian estimation and inference. Policy shocks are identified using high‐frequency surprises around policy announcements as an external instrument. Impulse response 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.