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摘要翻译：
本研究主要关注美国地区房价对货币政策冲击反应的区域差异。我们通过使用因子增广向量自回归(FAVAR)模型分析大都市地区的月度房价数据来解决这个问题。贝叶斯模型的估计是基于吉布斯抽样，对自回归系数和因子加载进行正态伽玛收缩先验值，而货币政策冲击是利用政策公告周围的高频意外作为外部工具来识别的。实证结果表明，货币政策对区域房价具有显著的正向影响，且在幅度和持续时间上存在差异。影响最大的是位于东海岸和西海岸的地区，特别是加利福尼亚州、亚利桑那州和佛罗里达州。
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英文标题：
《The dynamic impact of monetary policy on regional housing prices in the
US: Evidence based on factor-augmented vector autoregressions》
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作者：
Manfred M. Fischer, Florian Huber, Michael Pfarrhofer, Petra
Staufer-Steinnocher
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1802.05870
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