Data and Code for Asymmetric effects of monetary policy in regional housing markets

Principal Investigator(s): View help for Principal Investigator(s) Knut Are Aastveit, Norges Bank and BI Norwegian Business School; Andrè K. Anundsen, Oslo Metropolitan University

Version: View help for Version V1

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Replication_AEJ_Macro			08/19/2021 08:17:AM
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Project Citation:

Aastveit, Knut Are, and Anundsen, Andrè K. Data and Code for Asymmetric effects of monetary policy in regional housing markets. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-09-28. https://doi.org/10.3886/E140882V1

Project Description

Summary: The responsiveness of house prices to monetary policy shocks depends on the nature of the shock - expansionary versus contractionary - and on local housing supply elasticities. These findings are established using a panel of 263 US metropolitan areas. Expansionary monetary policy shocks have a larger impact on house prices in supply inelastic areas. Contractionary shocks are orthogonal to housing supply elasticities. In supply elastic areas, contractionary shocks have a greater impact on house prices than expansionary shocks. The opposite holds true in supply inelastic areas. We attribute this to asymmetric housing supply adjustments.

Scope of Project

Subject Terms: House prices; Heterogeniety; Monetary policy; Non-linearity; Supply elasticities

JEL Classification:
      E32 Business Fluctuations; Cycles
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
      R21 Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
      R31 Housing Supply and Markets

Geographic Coverage: United States, Metropolitan Statistical Areas

Time Period(s): 1/1983 – 12/2007 (Quarterly obesrvations)

Universe: 263 U.S. Metropolitan Statistical Areas

Data Type(s): aggregate data; census/enumeration data; geographic information system (GIS) data

Methodology

Unit(s) of Observation: US Metropolitan Statistical Areas

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Published Versions

V1 [2022-09-28]

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