Abstract
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. For the structural explanation of the house price variation, we estimate that regional supply and regional demand shocks play a bigger role than monetary policy shocks. Furthermore, we identify a mortgage credit supply shock.
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. For the structural explanation of the house price variation, we estimate that regional supply and regional demand shocks play a bigger role than monetary policy shocks. Furthermore, we identify a mortgage credit supply shock.
| Original language | Danish |
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| Title of host publication | IAAE 2015 Annual Conference, International Association for Applied Econometrics, Thessaloniki |
| Number of pages | 49 |
| Publication date | 2015 |
| Pages | 1 |
| Publication status | Published - 2015 |
| Event | International Association for Applied Econometrics - Thessaloniki, Thessaloniki, Greece Duration: 25 Jun 2015 → 27 Jun 2015 http://www.iaae2015.org/ |
Conference
| Conference | International Association for Applied Econometrics |
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| Location | Thessaloniki |
| Country/Territory | Greece |
| City | Thessaloniki |
| Period | 25/06/2015 → 27/06/2015 |
| Internet address |