dc.contributor.author |
Nyakabawo, Wendy
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Marfatia, Hardik A.
|
|
dc.date.accessioned |
2019-08-05T13:13:03Z |
|
dc.date.available |
2019-08-05T13:13:03Z |
|
dc.date.issued |
2018-12 |
|
dc.description.abstract |
This paper explores the impact of monetary policy and macroeconomic surprises on the U.S housing market returns and volatility at the Metropolitan Statistical Area (MSA) and aggregate level using a Glosten–Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity (GJR-GARCH) model. Using daily data and sampling periods which cover both the conventional and unconventional monetary policy periods, empirical results show that monetary policy surprises have a greater impact on the volatility of housing market returns across time with particularly pronounced effect during the conventional monetary policy period. We also show that macroeconomic surprises do not have a significant impact on housing returns for most MSAs for the full sample, conventional and unconventional monetary policy periods. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
http://journal.asia.edu.tw/ADS |
en_ZA |
dc.identifier.citation |
Nyakabawo, W.V., Gupta, R. & Marfatia, H.A. 2018, 'High-frequency impact of monetary policy and macroeconomic surprises on US MSAs and aggregate US housing returns and volatility : a GJR-GARCH approach', Advances in Decision Sciences, vol. 22, pp. 1-25. |
en_ZA |
dc.identifier.issn |
2090-3359 (print) |
|
dc.identifier.issn |
2090-3367 (online) |
|
dc.identifier.uri |
http://hdl.handle.net/2263/70891 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Asia University, Taiwan |
en_ZA |
dc.rights |
Advances in Decision Sciences is a peer-reviewed, Open Access journal. |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Macroeconomic surprises |
en_ZA |
dc.subject |
Asymmetric GARCH |
en_ZA |
dc.subject |
Housing market returns |
en_ZA |
dc.subject |
Volatility |
en_ZA |
dc.subject |
Glosten–Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity (GJR-GARCH) |
en_ZA |
dc.subject |
Metropolitan statistical area (MSA) |
en_ZA |
dc.title |
High-frequency impact of monetary policy and macroeconomic surprises on US MSAs and aggregate US housing returns and volatility : a GJR-GARCH approach |
en_ZA |
dc.type |
Postprint Article |
en_ZA |