Abstract

In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, to analyze whether the impact of monetary policy shocks on growth rate of real house price in the United States is contingent on the initial state of housing market sentiment. We find that contractionary monetary policy reduces growth rate of real house price more strongly when the market is characterized by optimism rather than pessimism, with this effect being more pronounced under unconventional monetary policy decisions. Further robustness checks confirm our results. Our findings highlight the role in sentiments in driving the policy effectiveness and thus, have important implications for policy decisions.

摘要

在本文中，我们使用 Quantile Structural Vector Autoregressive (QSVAR) 模型，估计从 1975:Q3 到 2017:Q3 的季度期间，来分析货币政策冲击对美国实际房价增长率的影响。取决于房地产市场情绪的初始状态。我们发现，当市场以乐观而非悲观为特征时，紧缩性货币政策会更强烈地降低实际房价的增长率，这种影响在非常规货币政策决策下更为明显。进一步的稳健性检验证实了我们的结果。我们的研究结果强调了情绪在推动政策有效性方面的作用，因此对政策决策具有重要意义。