标题： 货币对美国地区住房价格的动态影响：基于因子增强向量自回归的证据 显示英文标题

标题： The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions

摘要： 本研究关注美国住房价格对货币政策冲击的区域差异反应。 我们通过使用因子增强向量自回归（FAVAR）模型，分析大都市地区的月度房价数据来解决这一问题。 贝叶斯模型估计基于吉布斯抽样，自回归系数和因子载荷采用正态-伽马收缩先验，而货币政策冲击则通过政策公告周围的高频意外事件作为外部工具进行识别。 实证结果表明，货币政策行动通常对地区住房价格有显著的积极影响，显示出影响程度和持续时间的差异。 影响最大的地区位于东西海岸的州，特别是加利福尼亚州、亚利桑那州和佛罗里达州。 显示英文摘要

摘要： 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.