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. For the structural explanation of the house price variation, we estimate that aggregate supply and aggregate demand shocks play a bigger role than monetary policy shocks. However, the most important shock is the regional housing demand shock. We identify the factors by loading restrictions while the structural shocks are identified using a combination of zero and sign restrictions.
we decompose the metro-level house price variation into aggregate structural shocks and regional structural shocks. For the structural explanation of the house price variation, we estimate that aggregate supply and aggregate demand shocks play a bigger role than monetary policy shocks. However, the most important shock is the regional housing demand shock. We identify the factors by loading restrictions while the structural shocks are identified using a combination of zero and sign restrictions.
| Original language | English |
|---|---|
| Title of host publication | Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria |
| Number of pages | 43 |
| Publication date | 22 May 2015 |
| Pages | 1 |
| Publication status | Published - 22 May 2015 |
| Event | Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance 2015 - Institute for Advanced Studies, Vienna, Austria, Vienna, Austria Duration: 21 May 2015 → 22 May 2015 Conference number: 2 |
Conference
| Conference | Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance 2015 |
|---|---|
| Number | 2 |
| Location | Institute for Advanced Studies, Vienna, Austria |
| Country/Territory | Austria |
| City | Vienna |
| Period | 21/05/2015 → 22/05/2015 |