What drives metropolitan house prices in California?

Research output: Contribution to book/anthology/report/conference proceedingArticle in proceedingResearchpeer-review


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.
Original languageEnglish
Title of host publicationReserve Bank of New Zealand conference on Housing, household debt and policy
Number of pages59
Publication dateDec 2017
Publication statusPublished - Dec 2017
EventReserve Bank of New Zealand: Housing, household debt and policy - Wellington, New Zealand
Duration: 11 Dec 201712 Dec 2017


ConferenceReserve Bank of New Zealand: Housing, household debt and policy
Country/TerritoryNew Zealand


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