国际清算银行-房价对货币政策意外的反应：来自美国上市数据的证据（英）

BIS Working Papers No 1212 House price responses to monetary policy surprises: evidence from US listings data by Denis Gorea, Oleksiy Kryvtsov, Marianna Kudlyak Monetary and Economic Department September 2024 JEL classification: E52, R21, R31 Keywords: House prices, monetary policy, transmission of monetary policy, list and sales prices BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2024. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) House Price Responses to Monetary PolicySurprises: Evidence from the U.S. Listings Data*Denis GoreaBank for International SettlementsOleksiy KryvtsovBank of CanadaMarianna KudlyakFederal Reserve Bank of San Francisco, Hoover Institution, CEPR, IZAAbstractEvidence on the contemporaneous effects of interest rates on house prices has beenelusive. We present direct evidence of the high-frequency causal relationship betweeninterest rates and house prices in the United States. We exploit information containedin listings for residential properties for sale in the United States between 2001 and2019 from the CoreLogic Multiple Listing Service Dataset. Using high-frequency in-struments for monetary policy shocks, we estimate that a contractionary monetarypolicy surprise that raises average 30-year mortgage rates by 0.25 percentage pointslowers housing list prices by 1 percent within two weeks. House prices respond tosurprises to the expected path of future rates and are insensitive to the federal fundsrate surprises. The initial response of list prices is almost entirely passed through tosale prices and persists for at least a year after the announcement.Keywords: House prices. Monetary policy. Transmission of monetary policy. Listand sales prices.JEL codes: E52, R21, R31.*We thank Augustus Kmetz, Brigid Meisenbacher and Mitchell Ochse for outstanding research assistance, and Refet G¨urkaynakand Eric Swanson for sharing their monetary policy shocks series with us. We also thank thank Marta Cota (discussant), YuriyGorodnichenko, Will Larson, Moritz Lenel, Elias Oikarinen (discussant), Monika Piazzesi, Tess Scharlemann (discussant), Stijn VanNieuwerburgh, Egon Zakrajˇsek, Xu Zhang and participants at the SED, the Real Estate Finance and Investment Symposium, the WorldCongress of the Econometric Society, Danmarks Nationalbank, the AREUEA National Conference, the Bank of Canada, Virginia Tech,the FHFA, the 4th EM3C, the BIS, the 2023 SF Fed & UCLA Conference, CEBRA, the