We quantify the importance of heterogeneity for monetary policy using a new heterogeneous-agent VAR (HAVAR) model that integrates national monetary/financial markets with regional housing markets via the mortgage rate. Although the HAVAR model has linear regional VARs, its aggregate impulse...

This paper quantifies the importance of heterogeneity in regional housing markets for the conduct of monetary policy using a new model called an aggregation VAR (AVAR). The model integrates a national financial market with regional housing markets, imposing all exact aggregation conditions....

While price changes on any particular home are difficult to predict, aggregate home price changes are forecastable. In this context, this paper compares the forecasting performance of three types of univariate time series models: ARIMA, GARCH and regime-switching. The underlying intuition behind...