Effects of conventional and unconventional monetary policy shocks on housing prices in the United States : the role of sentiment

dc.contributor.authorCaraiani, Petre
dc.contributor.authorGupta, Rangan
dc.contributor.authorLau, Chi Keung Marco
dc.contributor.authorMarfatia, Hardik A.
dc.date.accessioned2022-07-01T11:00:48Z
dc.date.available2022-07-01T11:00:48Z
dc.date.issued2022
dc.description.abstractIn 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.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianhj2022en_US
dc.description.urihttps://www.tandfonline.com/loi/hbhf20en_US
dc.identifier.citationPetre Caraiani, Rangan Gupta, Chi Keung Marco Lau & Hardik A. Marfatia (2022) Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment, Journal of Behavioral Finance, 23:3, 241-261, DOI: 10.1080/15427560.2020.1865963.en_US
dc.identifier.issn1542-7560 (print)
dc.identifier.issn1542-7579 (online)
dc.identifier.other10.1080/15427560.2020.1865963
dc.identifier.urihttps://repository.up.ac.za/handle/2263/86023
dc.language.isoenen_US
dc.publisherRoutledgeen_US
dc.rights© 2021 Taylor and Francis. This is an submitted version of an article published in Journal of Behavioral Finances, vol. 23, no. 3, pp. 241-261, 2022.doi : 10.1080/15427560.2020.1865963. Journal of Behavioral Finance is available online at : https://www.tandfonline.com/loi/hbhf20.en_US
dc.subjectHouse priceen_US
dc.subjectMonetary policyen_US
dc.subjectHousing sentimenten_US
dc.subjectQuantile structural vector autoregressive (QSVAR) modelen_US
dc.subjectUnited States (US)en_US
dc.titleEffects of conventional and unconventional monetary policy shocks on housing prices in the United States : the role of sentimenten_US
dc.typePreprint Articleen_US

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