This paper assesses the impact of monetary policy on house price inflation for
the nine census divisions of the US economy using a factor-augmented VAR (FAVAR),
estimated a large data set comprising of 126 quarterly series over the period 1976:01 to
2005:02. The results based on the impulse response functions indicate that, in general,
house price inflation responds negatively to monetary policy shock, but the responses are
heterogeneous across the census divisions. In addition, our findings suggests the
importance of South Atlantic, East South Central, West South Central, Mountain and the
Pacific divisions, in particular, in shaping the dynamics of US house price inflation.