99 Luftballons: Monetary policy and the house price boom across US states

• 成果类型: Article
• 署名作者: Del Negro, Marco; Otrok, Christopher
• 署名单位: University of Virginia; Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.11.003
• 发表日期: 2007
• 页码: 1962-1985
• 关键词: housing; monetary policy; Bayesian analysis

摘要

We use a dynamic factor model estimated on quarterly state-level data from 1986 to 2005 via Bayesian methods to disentangle the relative importance of the common component in OFHEO house price movements from local (state- or region-specific) shocks. We find that historically movements in house prices were mainly driven by the local component. The recent period (2001-2005) has been different: the increase in house prices is a national phenomenon. We use a VAR to investigate the extent to which expansionary monetary policy is responsible for this phenomenon. We find the impact of policy shocks on house prices to be small in comparison with the magnitude of recent fluctuations. (c) 2006 Elsevier B.V. All rights reserved.