Document Type

Article

Publication Date

11-2023

Publication Title

Journal of International Money and Finance

Volume

138

Pages

1-16

Publisher Name

Elsevier

Abstract

This paper examines the factors driving housing price exuberance in the United States, specifically the influence of expansionary monetary policies and the global saving glut. We employ medium scale Bayesian VAR and time-varying VAR models to estimate the effects of monetary policy and global saving glut shocks on US housing bubbles. We find that, prior to the Global Financial Crisis, the impact of the saving glut shock is more enduring, powerful, and rapid in generating housing bubbles compared to monetary policy shocks. However, the recent housing boom that commenced in 2019 demonstrates a different pattern. Our results suggest that both monetary policy and the global saving glut contribute to the increase in house prices. Counterfactual policy experiments validate this conclusion.

Comments

Author Posting © The Author(s), 2023. This article is posted here by permission of Elsevier for personal use and redistribution. This article was published open access in Journal of International Money and Finance, VOL.138, (November, 2023), https://doi.org/10.1016/j.jimonfin.2023.102919

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Download

Share

COinS