High Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs, Aggregate US Housing Returns and Asymmetric Volatility

Title

HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY

Authors

Wendy Nyakabawo
(Department of Economics, University of Pretoria, Pretoria, 0002, SOUTH AFRICA)
Rangan Gupta
(Department of Economics, University of Pretoria, Pretoria, 0002, SOUTH AFRICA)
Hardik A. Marfatia
(Department of Economics, Northeastern Illinois University, BBH 344G, 5500 N. St. Louis Avenue, Chicago, IL 60625, USA)

Abstract

This paper explores the impact of monetary policy and macroeconomic surprises on the U.Shousing market returns and volatility at the Metropolitan Statistical Area (MSA) and aggregate
level using a GJR (or threshold generalized autoregressive conditional heteroscedasticity
(GARCH)) model of Glosten, Jagannathan and Runkle (1993). Using daily data and sampling
periods which cover both the conventional and unconventional monetary policy periods,
empirical results show that monetary policy surprises have a greater impact on the volatility of
housing market returns across time with particularly pronounced effect during the conventional
monetary policy period. We also show that macroeconomic surprises do not have a significant
impact on housing returns for most MSAs for the full sample, conventional and unconventional
monetary policy periods.

Keywords

Monetary policy and macroeconomic surprises, Asymmetric GARCH, Housing market returns and volatility

Classification-JEL

C32, E32, E44, E52, R31

Pages

204-229

https://doi.org/10.47654/v22y2018i1p204-229