期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：Housing prices are subject to boom and bust episodes with long-lasting deviation from fundamen-tals. By considering a present value housing price model under noisy information, I study the macroe-conomic implications of movements in housing prices related (news) and not related (noise) to futurefundamentals. I provide empirical evidence of the sizable macroeconomic effects of news and noiseshocks. Following Forni et al. (2014, 2016), I identify news and noise shocks through a non-standardVAR technique which exploits future information. In the US, news shocks are the main driver of thehousing market at low frequencies, but in the short-medium horizon noise shocks explain a large shareof the variability in housing prices, residential investment and GDP. Historically, many housing cyclesare driven by noise. The empirical findings are consistent with a model à la Iacoviello which features arental market. In this model, the usual optimal policy exercise concerns an augmented Taylor rule and apro-cyclical loan-to-value ratio. I propose pro-cyclical property taxes as the most effective policy tool todeal with fluctuations originating from the housing market.
