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Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements

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  • Leung, Charles Ka Yui
  • Teo, Wing Leong

Abstract

A multi-region, dynamic stochastic general equilibrium (MRDSGE) model is built to show that differences in the price elasticity of housing supply can be related to stylized facts on regional differences in (1) house price level, (2) house price volatility, (3) monetary policy propagation mechanism and (4) household asset portfolio. In addition, regional house prices are found to move more closely with regional fundamentals than with the national GDP. The correlation between the national stock price and the regional housing price also vary significantly across regions, which suggests that optimal portfolio should be region specific.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28216.

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Date of creation: Dec 2010
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Handle: RePEc:pra:mprapa:28216

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Keywords: regional economic difference; monetary policy; housing market; region-specific portfolio;

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Cited by:
  1. Leung, Charles Ka Yui, 2014. "Error Correction Dynamics of House Prices: an Equilibrium Benchmark," MPRA Paper 55654, University Library of Munich, Germany.
  2. Leung, Charles Ka Yui & Shi, Song & Tang, Edward Chi Ho, 2013. "Commodity house prices," MPRA Paper 49489, University Library of Munich, Germany.
  3. Hans Haller & Ming Yi, 2013. "Paths of a Continuum of Independent Random Variables," Working Papers e07-44, Virginia Polytechnic Institute and State University, Department of Economics.
  4. Heeho Kim & SaeWoon Park & Sun Hye Lee, 2012. "House Price and Bank Lending in a Premium Submarket in Korea," International Real Estate Review, Asian Real Estate Society, vol. 15(1), pages 1-42.

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