The Economic Drivers of Differences in House Price Inflation Rates across MSAs

Item Type Journal paper

This study examines why monetary policy at the national level can have vastly different effects on appreciation rates of single family houses across metropolitan statistical areas (MSAs). The study employs Case/Shiller monthly house price index data for 19 MSAs from 1992:06 to 2014:12 and FHFA quarterly house price index data for 94 MSAs from 1992:3 to 2014:4. We model the importance of MSA-specific demand and supply characteristics through a set of interaction terms between these factors and monetary policy. The empirical analysis is cast in terms of a state-space approach with a stochastic trend component to absorb the impact of omitted variables. Robustness checks use panel data estimators with interaction terms. A lower federal funds rate is associated with home price run-ups in MSAs that are characterized by higher demand and tighter supply conditions.

Authors Füss, Roland & Zietz, Joachim
Journal or Publication Title Journal of Housing Economics
Language English
Subjects business studies
Institute/School s/bf - Swiss Institute of Banking and Finance
SEW - Swiss Institute for Empirical Economic Research
HSG Classification contribution to scientific community
Refereed Yes
Date 1 March 2016
Publisher Elsevier
Place of Publication Amsterdam
Volume 31
Number 1
Page Range 35-53
ISSN 1051-1377
ISSN-Digital 1096-0791
Publisher DOI 10.1016/j.jhe.2015.12.002
Depositing User Prof. Dr. Roland Füss
Date Deposited 12 Jan 2016 11:11
Last Modified 27 Jul 2017 00:21



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Füss, Roland & Zietz, Joachim (2016) The Economic Drivers of Differences in House Price Inflation Rates across MSAs. Journal of Housing Economics, 31 (1). 35-53. ISSN 1051-1377

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