货币政策对国家级住房市场的时变影响：来自2019冠状病毒病期间的证据

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2025-01-04 DOI:10.1016/j.qref.2025.101961

MeiChi Huang

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引用次数: 0

摘要

本文采用随机波动的时变参数向量自回归模型（TVP-VAR-SV）研究货币政策对国家级住房市场的时变影响。结果表明，各州房价回报率和许可增长的时变波动是明显的，其中一些在2020 - 2022年期间比2007-09年住房危机期间更高。与房价相比，货币政策对住房数量的影响不那么持久，但效果更强。研究结果提供了支持性证据，表明新冠肺炎大流行增强了货币政策的影响，2022年积极的紧缩货币政策在推动州级住房市场方面发挥了至关重要的作用。各州住房市场的差异和共性对政策制定和风险分散产生了新的影响。

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Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period

This study investigates the time-varying influences of monetary policies on state-level housing markets, utilizing a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV). The results suggest that time-varying state-level volatilities in housing price returns and permits growths are evident, and some of them are higher in the Covid-19 period 2020–22 than the 2007–09 housing crisis. Monetary policies exert less persistent but stronger effects on housing quantities than housing prices. The findings provide supportive evidence that the Covid-19 pandemic enhances monetary-policy influences, and aggressive contractionary monetary policies in 2022 play vital roles in driving state-level housing markets. The differences and commonalities across state-level housing markets yield new implications for policy-making and risk diversification.

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.