99 Luftballons: Monetary policy and the house price boom across U.S. states

Journal of Monetary Economics

Volumn 54, Issue 7, 2007, Pages 1962-1985

  Del Negro, Marco ^a   Otrok, Christopher ^b  

^a FEDERAL RESERVE BANK OF ATLANTA   (United States)

^b UNIVERSITY OF VIRGINIA   (United States)

Author keywords

Bayesian analysis; Housing; Monetary policy

Indexed keywords

EID: 34548829399     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2006.11.003     Document Type: Article

References (34)

1. Bernanke B., and Boivin J. Monetary policy in a data-rich environment. Journal of Monetary Economics 50 (2003) 525-546
2. Bernanke B., Boivin J., and Piotr E. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 120 (2005) 387-422
3. Calhoun, C.A., 1996. OFHEO house price indexes: HPI technical description. Manuscript, Office of Federal Housing Enterprise Oversight, Washington, DC. 〈http://www.ofheo.gov/Media/Archive/house/hpi_tech.pdf〉.
4. Canova F., and De Nicoló G. Monetary disturbances matter for business cycle fluctuations in the G-7. Journal of Monetary Economics 49 (2002) 1131-1159
5. Carter, C.K., Kohn, R., 1994. On Gibbs sampling for state space models. Biometrika 81 (3) 541-553.
6. Chib S., and Greenberg E. Bayes inferences in regression models with ARMA(p, q) errors. Journal of Econometrics 64 (1994) 183-206
7. Chirinko, R.S., de Haan, L., Sterken, E., 2004. Asset price shocks, real expenditures, and financial structure: a multi-country analysis. Working Paper, Emory University.
8. Christiano L., Eichenbaum M., and Evans C. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
9. Cogley, T., Sargent, T.J., 2002. Evolving post-world war II U.S. inflation dynamics. NBER Macroeconomics Annual. MIT Press, Cambridge, pp. 331-373.
10. Davis M.A., and Heathcote J. The price and quantity of residential land in the United States. Mimeo (2004), Georgetown University
11. Del Negro, M., Otrok, C., 2005. Monetary policy and the house price boom across U.S. states. Federal Reserve Bank of Atlanta WP 2005-24.
12. Doz, C., Giannone, D., Reichlin, L., 2006. A quasi-maximum likelihood approach for large approximate dynamic factor models. CEPR Discussion Paper 5724.
13. Faust, J., 1998. The robustness of identified VAR conclusions about money. Carnegie Rochester Conference Series, 49, 207-244.
14. Fratantoni M., and Schuh S. Monetary policy, housing, and heterogeneous regional markets. Journal of Money, Credit, and Banking 35 (2003) 557-589
15. Geweke J. The dynamic factor analysis of economic time series. In: Aigner D., and Goldberger A. (Eds). Latent Variables in Socioeconomic Models (1977), North Holland, Amsterdam 365-383
16. Glaeser, E., Gyourko, J., 2002. The impact of zoning on housing affordability. NBER Working Paper 8835, Cambridge.
17. Iacoviello M. House prices, borrowing constraints, and monetary policy in the business cycle. American Economic Review 95 (2005) 739-764
18. Iacoviello, M., Minetti, R., 2003. The credit channel of monetary policy: evidence from the housing market. Working Paper, Boston College.
19. Kim C.J., and Nelson C.R. State-space Models with Regime Switching (1999), MIT Press, Cambridge
20. Kose M.A., Otrok C., and Whiteman C.H. International business cycles: world, region and country specific factors. American Economic Review 93 (2003) 1216-1239
21. Kose, M.A., Otrok, C., Whiteman, C.H., 2005. Understanding the evolution of world business cycles. Manuscript, University of Virginia.
22. McCarthy, J., Peach, R.W., 2004. Are home prices the next 'Bubble'? Federal Reserve Bank of New York Economic Policy Review, December, 1-17.
23. Otrok, C., Terrones, M., 2004. House prices, interest rates, and macroeconomic fluctuations: international evidence. Manuscript, University of Virginia.
24. Otrok C., and Whiteman C.H. Bayesian leading indicators: measuring and predicting economic conditions in Iowa. International Economic Review 39 (1998) 997-1014
25. Primiceri G. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 72 (2005) 821-852
26. Quah, D., Sargent, T.J., 1993. A dynamic index model for large cross sections. In: NBER Studies in Business Cycles, vol. 28. University of Chicago Press, Chicago, pp. 285-306.
27. Sargent, T.J., Sims, C.A., 1997. Business cycle modeling without pretending to have too much a priori economic theory. In: Sims, C.A., et al. (Eds.), New Methods in Business Cycle Research, Federal Reserve Bank of Minneapolis, Minneapolis, pp. 45-108.
28. Sims C.A. Macroeconomics and reality. Econometrica 48 (1980) 1-48
29. Stock, J.H., Watson, M.H., 1989. New indices of coincident and leading indicators. NBER Macroeconomics Annual. MIT Press, Cambridge, pp. 351-393.
30. Uhlig H. What macroeconomists should know about unit roots: a Bayesian perspective. Econometric Theory 10 (1994) 645-671
31. Uhlig, H., 2001. Did the fed surprise the markets in 2001? A case study for VARs with sign restrictions. Manuscript, Humboldt University.
32. Uhlig H. What are the effects of monetary policy? Evidence from an agnostic identification procedure. Journal of Monetary Economics 52 (2005) 381-419
33. Waggoner D.F., and Zha T. Likelihood-preserving normalization in multiple equation models. Journal of Econometrics 114 (2003) 329-347
34. Zha, T., 1998. A dynamic multivariate model for use in formulating policy. Federal Reserve Bank of Atlanta Quarterly Review, First Quarter, pp. 16-29.