What drives metropolitan house prices in California?

Publikation: Bidrag til bog/antologi/rapport/konference proceedingKonferenceartikel i proceedingForskningpeer review

Abstrakt

In a large-dimensional dynamic factor analysis
of Californian house prices, we decompose the metro-level house price
variation into aggregate structural shocks and regional structural shocks.
The regional (Californian) factors are separated from the US aggregate
factors by means of loading restrictions. In our structural analysis, we use
a combination of zero restrictions and sign restrictions and find that
regional shocks have a significant positive effects on the house prices in
the metropolitan areas of California while the aggregate counterparts were
often small but nevertheless non-negligible as seen in the historical
structural decomposition of the house prices series. In particular, we are
not able to document an important role for monetary policy shocks. On the other hand, credit shocks has played an important role in the historical decomposition of housing, employment, and loan quality in commercial banks in California.
OriginalsprogEngelsk
TitelINTERNATIONAL PANEL DATA CONFERENCE, Thessaloniki, July 7-8, 2017
Antal sider59
Publikationsdato2017
Sider1
StatusUdgivet - 2017
BegivenhedInternational Panel Data Conference - Thessaloniki, Grækenland
Varighed: 7 jul. 20178 jul. 2017
Konferencens nummer: 40
http://www.ipdc2017.org/

Konference

KonferenceInternational Panel Data Conference
Nummer40
Land/OmrådeGrækenland
ByThessaloniki
Periode07/07/201708/07/2017
Internetadresse

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