Abstract
In 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.
| Original language | English |
|---|---|
| Pages (from-to) | 241-261 |
| Number of pages | 21 |
| Journal | Journal of Behavioral Finance |
| Volume | 23 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 26 Feb 2022 |
| Externally published | Yes |
Bibliographical note
Funding Information:This work was supported by a grant of the Romanian Ministry of Education and Research, CNCS - UEFISCDI, project number PN-III-P4-ID-PCE-2020-0557, within PNCDI III, contract number 112/2021. We would like to thank an anonymous referee for many helpful comments. However, any remaining errors are solely ours.
Publisher Copyright:
© 2020 The Institute of Behavioral Finance.