Nyakabawo, WendyGupta, RanganMarfatia, Hardik A.2019-08-052019-08-052018-12Nyakabawo, 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. 1-25.2090-3359 (print)2090-3367 (online)http://hdl.handle.net/2263/70891This 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.enAdvances in Decision Sciences is a peer-reviewed, Open Access journal.Monetary policyMacroeconomic surprisesAsymmetric GARCHHousing market returnsVolatilityGlosten–Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity (GJR-GARCH)Metropolitan statistical area (MSA)Postprint Article