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
TitelReserve Bank of New Zealand conference on Housing, household debt and policy
Antal sider59
Publikationsdatodec. 2017
Sider1
StatusUdgivet - dec. 2017

Fingeraftryk Dyk ned i forskningsemnerne om 'What drives metropolitan house prices in California?'. Sammen danner de et unikt fingeraftryk.

Citationsformater