Identifying the Erratic Phase in the Behavior of the US Housing Prices

• 발행기관: 한국외국어대학교 영미연구소
• 저자명: Jangryoul Kim(김장열) Gieyoung Lim(임기영)
• 간행물 정보: 『영미연구』제19집, 299~317쪽, 전체 19쪽
• 주제분류: 사회과학 > 지역학
• 파일형태: PDF
• 발행일자: 2008.12.30

영문 초록

In this paper, we have provided empirical evidence on the presence of two distinct regimes for the evolution of the US housing price inflation. We apply a twostate Markov switching model to estimate the regimespecific behavior of the housing price inflation and the probabilities that the US economy is in respective regime. One of the two regimes appears ‘typical’, in that the rate of housing price inflation negatively responds to higher real interest rate and that the effect of a shock to the housing inflation dies out in a reasonable period of time. The other regime, however, is ‘atypical’, in that the housing price inflation is positively related with real interest rate and that any disturbance to the housing price inflation lingers for almost two years. Data features of the atypical regime suggest that such a regime is a mixture of the formation and collapsing of housing price bubbles. It is also shown that, depending on which state the economy is in, the appropriate policy responses of the central bank are qualitatively different.

목차

Ⅰ. Introduction

Ⅱ. The Model

Ⅲ. Data and Preliminary Results

Ⅳ. Estimates from Regime-Switching Regression

V. Regime-Specific Optimal Responses of the Fed

Ⅵ. Conclusion

Works Cited

Abstract

키워드

Housing prices Regime switching US monetary policy JEL Classification: E21 D12 D91