Monetary Policy, and the Housing Market: A Structural Factor Analysis

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: This paper studies the role of the Federal Reserve's policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a structural dynamic factor model on a panel of 109 US quarterly variables from 1982 to 2010, we find that, although the Federal Reserve's policy between 2002 and 2004 was slightly expansionary, its contribution to the recent housing cycle was negligible. We also show that a more restrictive policy would have smoothed the cycle but not prevented the recession. We thus find no role for the Federal Reserve in causing the recession.

Date: 2013-04-18
Note: SCOPUS: ar.j
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Citations: View citations in EconPapers (6)

Published in: Journal of applied econometrics (2013)

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Related works:
Journal Article: Monetary Policy and the Housing Market: A Structural Factor Analysis (2015)
Working Paper: Monetary Policy and the Housing Market: A Structural Factor Analysis (2012)
Working Paper: Monetary Policy and the Housing Market: A Structural Factor Analysis
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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/153324

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