Autore
Luciani, MatteoTitolo
Monetary Policy and the Housing Market: A Structural Factor AnalysisPeriodico
Ministero dell'Economia e delle Finanze. Dipartimento del Tesoro. Working paperAnno:
2010 - Volume:
9 - Fascicolo:
7 - Pagina iniziale:
1 - Pagina finale:
39This paper estimates a Structural Dynamic Factor Model on a panel of 102 US quarterly
series. We model economic comovements by means of five underlying structural shocks (oil
price, productivity, aggregate demand, monetary policy, and housing demand). The results of
the benchmark model (impulse responses and variance decomposition) are in line with those
predicted by economic theory and estimated in the empirical literature. We show that after the
reforms to the housing finance sector starting in the early 1980s, housing demand shocks
account for a slightly higher portion of model variability, while the role of monetary policy in
determining residential investment fluctuations is slightly decreased. The model analyzes the
sources of the fluctuations in the first decade of the 2000: we find that monetary policy shocks
contributed to both the boom and bust in housing.
SICI: 1972-411X(2010)9:7<1:MPATHM>2.0.ZU;2-T
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