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. 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.
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 language | English |
|---|---|
| Title of host publication | Reserve Bank of New Zealand conference on Housing, household debt and policy |
| Number of pages | 59 |
| Publication date | Dec 2017 |
| Pages | 1 |
| Publication status | Published - Dec 2017 |
| Event | Reserve Bank of New Zealand: Housing, household debt and policy - Wellington, New Zealand Duration: 11 Dec 2017 → 12 Dec 2017 |
Conference
| Conference | Reserve Bank of New Zealand: Housing, household debt and policy |
|---|---|
| Country/Territory | New Zealand |
| City | Wellington |
| Period | 11/12/2017 → 12/12/2017 |