Download or read book The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States written by Manfred M. Fischer and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Dynamic Impact of Monetary Policy on Regional Housing Prices in the US written by Manfred M. Fischer and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Housing Supply Channel of Monetary Policy written by Bruno Albuquerque and published by International Monetary Fund. This book was released on 2024-02-02 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role of regional housing markets in the transmission of US monetary policy. Using a FAVAR model over 1999q1–2019q4, we find sizeable heterogeneity in the responses of US states to a contractionary monetary policy shock. Part of this regional variation is due to differences in housing supply elasticities, household debt overhang, and housing wealth (volatility). Our analysis indicates that house prices and consumption respond more in supply-inelastic states and in states with large household debt imbalances, where negative housing wealth effects bite more strongly and borrowing constraints become more binding. Moreover, financial stability risks increase sharply in these areas as mortgage delinquencies and foreclosures surge, worsening banks’ balance sheets. Finally, monetary policy may have a stronger effect on housing tenure decisions in supply-inelastic states, where the homeownership rate and price-to-rent ratios decline by more. Our findings stress the importance of regional housing supply conditions in assessing the macrofinancial effects of rising interest rates.
Download or read book Monetary Policy and Regional House Price Appreciation written by Daniel Cooper and published by . This book was released on 2016 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the link between monetary policy and house-price appreciation by exploiting the fact that monetary policy is set at the national level, but has different effects on state-level activity in the United States. This differential impact of monetary policy provides an exogenous source of variation that can be used to assess the effect of monetary policy on state-level housing prices. Policy accommodation equivalent to 100 basis points on an equilibrium real federal funds rate basis raises housing prices by about 2.5 percent over the next two years. However, the estimated effect increases to 6.6 percent during the early 2000s housing boom.
Download or read book The Effects of Housing Prices and Monetary Policy in a Currency Union written by Oriol Aspachs-Bracons and published by International Monetary Fund. This book was released on 2011-01-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent boom-and-bust cycle in housing prices has refreshed the debate on the drivers of housing cycles as well as the appropriate policy response. We analyze the case of Spain, where housing prices have soared since it joined the EMU. We present evidence based on a VAR model, and we calibrate a New Keynesian model of a currency area with durable goods to explain it. We find that labor market rigidities provide stronger amplification effects to all type of shocks than financial frictions do. Finally, we show that when the central bank reacts to house prices, the non-durable sector suffers an important contraction. As a result, the boom-and-bust cycle would not have been avoided if Spain had remained outside the EMU during the 1996-2007 period.
Download or read book Monetary Policy Housing Investment and Heterogeneous Regional Markets written by Michael C. Fratantoni and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper quantifies the importance of heterogeneity in regional housing markets for the conduct of monetary policy using a new model called an aggregation VAR (AVAR). The model integrates a national financial market with regional housing markets, imposing all exact aggregation conditions. Monetary policy is transmitted to the real economy through the mortgage rate. The AVAR model is based on linear VARs, but 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, the effect of monetary policy on the real economy depends on the extent and nature of regional heterogeneity, which vary over time. Using longitudinal data for detailed U.S. regions, we estimate the effects of time variation and state dependence on the dynamic responses of the AVAR model. These estimates, and aggregation bias, provide plausible and tangible explanations for quot;long and variablequot; lags in monetary policy. As an example, we show how the AVAR model can simulate the effects of coastal housing booms on the efficacy of monetary policy.
Download or read book Real Estate Price Inflation Monetary Policy and Expectations in the United States and Japan written by Mr.Garry J. Schinasi and published by International Monetary Fund. This book was released on 1994-01-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the mid- to late 1980s, inflationary pressures were highly concentrated in asset markets in many industrial countries. This paper discusses why this may have occurred and then develops a forward-looking supply and demand model of the real estate market in which equilibrium prices depend on price expectations, monetary conditions, income, returns to alternative assets, and construction costs. In this model, the current equilibrium price is determined by expectations formed in different time periods by consumers and producers. The model and its more generalized dynamic specifications are estimated by maximum-likelihood methods. The empirical results do not reject the view that the relationship between real estate values and monetary policy was altered in 1980s.
Download or read book Monetary Policy Housing Investment and Heterogenous Regional Markets written by Michael Fratantoni and published by . This book was released on 2000 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Housing Prices and Monetary Policy in a Currency Union written by Oriol Aspachs and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many developed countries have seen housing prices and residential investment soar in the last decade. This fact has refreshed the debate on the drivers of housing cycles as well as the appropriate policy response. We analyze these issues for the case of Spain, who has seen the interest rates at historical lows since it joined the EMU, and increasing housing demand pressures from immigration and the baby boom generation. First, we present evidence based on a VAR model that suggests that both monetary and demand shocks are behind Spain's housing boom. Second, we calibrate a New Keynesian dynamic general equilibrium model of a small open economy in a currency area with durable goods. We study the effects of a housing demand shock, a monetary policy shock and a risk premium shock in the model. This allows us to better understand the factors amplifying a housing boom, the role played by the ECB and the recessionary effects of a housing bust. Our results are as follows. First, the model confirms that a combination of these shocks is indeed behind Spain's housing boom. Second, labor market rigidities provide strong amplification effects to all type of shocks, while financial frictions play a secondary role. Third, monetary policy autonomy is of first order importance to cushion risk premium shocks, while this is not the case for housing demand shocks.
Download or read book The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses written by John Baffoe-Bonnie and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the dynamic effects of four key macroeconomic variables on the housing prices and the stock of houses sold on the national and regional levels using a non-structural estimation technique. The impulse response functions derived from the VAR suggest that macroeconomic variables produce cycles in housing prices and houses sold. The housing market was found to be very sensitive to shocks in the employment growth and mortgage rate at both the national and regional levels. In particular, regional housing prices reflect regional employment growth, as well as national mortgage rates. The study also reveals that the economic variables have a different impact on the dynamic behavior of housing prices and the number of houses sold in different regions at different time periods and that these economic aggregates alone cannot explain the fluctuations in real estate values and construction levels that occurred in some regions.
Download or read book Monetary Policy and Housing Prices in an Estimated DSGE for the US and the Euro Area written by Matthieu Darracq Paries and published by . This book was released on 2009 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a two-country Dynamic Stochastic General Equilibrium model for the US and the euro area including relevant housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive the optimal monetary policy cooperation consistent with the structural specification of the model. Our estimation results reinforce the existing evidence on the role of housing and mortgage markets for the US and provide new evidence on the importance of the collateral channel in the euro area. Moreover, we document the various implications of credit frictions for the propagation of macroeconomic disturbances and the conduct of monetary policy. We find that allowing for some degree of monetary policy response to fluctuations in the price of residential goods improves the empirical fit of the model and is consistent with the main features of optimal monetary policy response to housing-related shocks.
Download or read book Financial Market Liberalization Monetary Policy and Housing Price Dynamic written by Rangan Gupta and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers how monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector and whether the financial market liberalization of the early 1980's influenced those dynamics. The analysis uses impulse response functions obtained from a large-scale Bayesian Vector Autoregression (LBVAR) model over the periods 1968:01 to 1982:12 and 1989:01 to 2003:12, including 21 housing-sector variables at the national and four census regions. Overall, the 100 basis point Federal funds rate shock produces larger effects on the real house prices, both at the regional level and the national level, in the post-liberalization period when compared to the pre-liberalization era. While the precision of the estimates do not imply significant differences, the finding does offer a caution. That is, the housing market appears more sensitive to monetary policy shocks in the post-liberalization period. On the one hand, this suggests that monetary policy possesses increased leverage. On the other hand, the housing market cycle traditionally contributes an important component to the aggregate business cycle. Thus, the monetary authorities may need to exercise more care in implementing Federal funds rate adjustments going forward. In addition, contractionary monetary policy exerts a negative effect on house prices at the national level, indicating the absence of the price puzzle in small structural vector autoregressive models. The puzzle's absence in the housing sector possibly emerges as a result of proper identification of monetary policy shocks within a data-rich environment. Finally, we find that the reaction of housing sector proves heterogeneous across regions, with the housing sector in the South driving the national data after liberalization, while before liberalization, the Middle West appears to drive the housing market. The responses in the West differ the most from the other regions.
Download or read book Monetary Policy and the Housing Market During the Last Decade written by Jing Zhang and published by . This book was released on 2014 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how monetary policy influences the housing market in U.S. with a special emphasis on the recent financial crisis dating from 2007, which started from the burst of bubbles in the housing market. Using monthly U.S. data spanning over the period from January 2000 to July 2011, I estimate Vector Auto-regressive(VAR) models using data for each metropolitan statistical area (MSA) to analyze the interaction between local housing markets and monetary policy. Aggregate responses of housing variables to monetary policy are also estimated by adopting composite data. Empirical results show that employment and housing price index both respond negatively to a positive monetary policy shock; while the significance and magnitude of the influence varies across MSAs. Compared to the aggregate effects, monetary policy is more likely to be effective in the west and the east, namely, California and Florida, and is more likely to be ineffective in the middle states, namely, Texas. The regional asymmetry in the efficacy of monetary policy could be resulted by various sources, like industry composition, housing supply elasticities, and credit condition.
Download or read book Regional Housing Market Spillovers in the US written by Isabel Vansteenkiste and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Innocent Bystanders Monetary Policy and Inequality in the U S written by Mr.Olivier Coibion and published by International Monetary Fund. This book was released on 2012-08-01 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects and historical contribution of monetary policy shocks to consumption and income inequality in the United States since 1980. Contractionary monetary policy actions systematically increase inequality in labor earnings, total income, consumption and total expenditures. Furthermore, monetary shocks can account for a significant component of the historical cyclical variation in income and consumption inequality. Using detailed micro-level data on income and consumption, we document the different channels via which monetary policy shocks affect inequality, as well as how these channels depend on the nature of the change in monetary policy.
Download or read book Macroprudential Policies and Housing Price written by Mr.Jerome Vandenbussche and published by International Monetary Fund. This book was released on 2012-12-27 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several countries in Central, Eastern and Southeastern Europe used a rich set of prudential instruments in response to last decade’s credit and housing boom and bust cycles. We collect detailed information on these policy measures in a comprehensive database covering 16 countries at a quarterly frequency. We use this database to investigate whether the policy measures had an impact on housing price inflation. Our evidence suggests that some—but not all—measures did have an impact. These measures were changes in the minimum CAR and non-standard liquidity measures (marginal reserve requirements on foreign funding, marginal reserve requirements linked to credit growth).
Download or read book Monetary Policy and the Housing Bubble written by Jane Dokko and published by . This book was released on 2009 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
