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Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period

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  • Huang, MeiChi

Abstract

This study investigates the time-varying influences of monetary policies on state-level housing markets, utilizing a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV). The results suggest that time-varying state-level volatilities in housing price returns and permits growths are evident, and some of them are higher in the Covid-19 period 2020–22 than the 2007–09 housing crisis. Monetary policies exert less persistent but stronger effects on housing quantities than housing prices. The findings provide supportive evidence that the Covid-19 pandemic enhances monetary-policy influences, and aggressive contractionary monetary policies in 2022 play vital roles in driving state-level housing markets. The differences and commonalities across state-level housing markets yield new implications for policy-making and risk diversification.

Suggested Citation

  • Huang, MeiChi, 2025. "Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
    • Handle: RePEc:eee:quaeco:v:100:y:2025:i:c:s106297692500002x
    DOI: 10.1016/j.qref.2025.101961
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