Abstract
Using Australian national economic data and state level house prices we construct a structural vector autoregressive (SVAR) model to identify the impact of common monetary policy shocks on house prices both at national and state levels. Our results suggest that the impact of a shock to interest rates on national aggregate house prices is almost neutral. However, aggregation influences mask asymmetries in the responses of state capital city housing markets. Positive shocks to interest rates on capital city house prices exhibit significant asymmetries.
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