Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 293-304 |
| Journal / Publication | Regional Science and Urban Economics |
| Volume | 41 |
| Issue number | 3 |
| Publication status | Published - May 2011 |
Link(s)
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. © 2011 Elsevier B.V.
Research Area(s)
- E32, E52, Housing market, Monetary policy, R10, R33, Region-specific portfolio, Regional economic difference
Citation Format(s)
Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements. / Leung, Charles Ka Yui; Teo, Wing Leong.
In: Regional Science and Urban Economics, Vol. 41, No. 3, 05.2011, p. 293-304.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
