Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment

In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, analyze whether impact monetary policy shocks on growth rate real house price in United States is contingent initial state housing market sentiment. We find that contractionary reduces more strongly when characterized by optimism rather than pessimism, with effect being pronounced under unconventional decisions. Further robustness checks confirm our results. Our findings highlight role sentiments driving effectiveness and thus, have important implications for