L'interazione tra politica monetaria, tasso sui mutui e prezzi immobiliari: un'analisi empirica

The purpose of the research is to assess the linkages between the short-term interest rate, the term spread, the mortgage rate and real house prices in the United States, both at the aggregate level and at the state-specific level. The analysis is based on a structural VAR estimated using quarterly data spanning the period 1987-2023, for a total of 144 observations for each variable. The main results are the following: firstly, a restrictive monetary policy shock, which is intended as a positive shock to the federal funds rate, leads the level of real house prices to immediately drop, in accordance with the economic theory. Secondly, the effect of both the output shock and the inflationary shock in altering real house prices is positive, but, at least considering the aggregate model, not statistically different from zero. The response is significant in four over the twenty countries involved in the state-specific analysis. Positive shocks to both the 30-years fixed mortgage rate and to the term spread have a negative effect on real estate prices; with respect to the state-level analysis, the response is significant in some specific countries, especially the ones located in the North-East of the US. Reversing the perspective, the third result involves the responses of the wider economy to a shock to house prices. Precisely, a positive shock to house price produces an increase in both the output level and the inflation rate. Considering the state-specific case, the countries in which the response is stronger are mainly set in the South of the US. Finally, considering the outcomes of the house prices variance decomposition: even though shocks to monetary variables, as the federal funds rate, the term spread and the mortgage rate, account for about 30% of the total variance, a relevant fraction of the house prices variance still depends on the intrinsic and local features of the housing market.