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

Journal
Journal of Housing Economics
ISSN
1051-1377
ISSN-Digital
1096-0791
Type
journal article
Date Issued
2016-03-01
Author(s)
;
Zietz, Joachim
DOI
Abstract
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam
Volume
31
Number
1
Start page
35
End page
53
URL
Subject(s)

business studies

Division(s)

SBF - Swiss Institute...

SEW - Swiss Institute...

Eprints ID
246641
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