873 publications from this institution
In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the autoregressive coefficients and factor loadings, while monetary policy shocks are identified using high-frequency surprises around policy announcements as external instruments. The empirical results indicate that monetary policy actions typically have sizeable and significant positive effects on regional housing prices, revealing differences in magnitude and duration. The largest effects are observed in regions located in states on both the East and West Coasts, notably California, Arizona and Florida.
Two alternative methodological approaches (the IPFP based and the intramax procedures) to the problem of pattern identification in spatial interaction data are compared and evaluated in this paper. After a general discussion of the major characteristics and shortcomings of these methodologies, the paper presents the findings of a case study relying on telecommunication data measured by the Austrian PTT in 1991, in terms of erlangs. The results clearly illustrate the superiority of the intramax approach in the context of medium-sized and relatively centralised flow systems.