货币政策与住房高估

Monetary Policy andHousing Overvaluation Nina Biljanovska, Eduardo Espuny Diaz, Amir Kermani and Rui C.Mano WP/25/207 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working Paper Research Department Monetary Policy and Housing OvervaluationPrepared by Nina Biljanovska, Eduardo Espuny Diaz, Amir Kermani and Rui C. Mano* Authorized for distribution by Maria Soledad Martinez PeriaSeptember 2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper examines how housing market overvaluation—measured by the price-to-rent ratio and itsdeviations from long-term trends—affects the transmission of monetary policy. Using U.S. metropolitan-level data andthree measures of monetary policy shocks, we find that house prices respond more strongly to policy rate changes inovervalued markets. Examining buyer heterogeneity, we show that investor demand, proxied by non-owner-occupiedpurchases, declines more sharply after monetary tightening in these markets. These results are consistent with models ofextrapolative beliefs and suggest that monetary policy can serve a stabilizing role during housing booms. 1Introduction and Literature A growing body of research suggests that belief overreaction plays a key role in drivingexcessive asset price fluctuations in housing (Glaeser and Nathanson, 2017; Chodorow-Reich et al., 2024; Bro and Eriksen, 2025; Adam et al., 2025), equity (Bordalo et al.,2024), and credit markets (López-Salido et al., 2017).Much of this literature focuseson how extrapolative expectations, combined with shifting fundamentals, generate theobserved patterns in asset prices, like price momentum, reversals, boom-bust cycles, and,in general, deviations from fundamental values. Building on this foundation, our paper investigates how the degree of house price over-valuation affects the transmission of monetary policy to housing markets. In particular,we ask: is monetary policy more effective in influencing house prices when local housingmarkets are overvalued? This question is central to debates over whether and how mone-tary authorities should lean against asset price imbalances (Bernanke and Gertler, 2001;Svensson, 2017). If monetary transmission is state-dependent and more potent during pe-riods of overvaluation, then appropriately calibrated tightening can play a stabilizing roleby dampening excessive price growth and mitigating the risk of future corrections. Con-versely, excessively loose monetary policy during such periods can substantially amplifyhousing overvaluations, fueling speculative dynamics, and raising the likelihood of sharpreversals. Understanding if such amplification mechanism is present and quantifying it isthus an important input into the design of optimal monetary policy. We begin by confirming that elevated price-to-rent ratios (PRRs) have divergent im-plications for future rent and house price dynamics in U.S. metropolitan areas, based ondata for the last 30 years. On one hand, higher PRRs are associated with stronger futurerent growth, which is broadly consistent with rational models where prices reflect expec-tations of rising fundamentals. On the other hand, high PRRs—particularly those drivenby short-term deviations from historical trends—predict significantly lower future houseprice growth.These findings extend earlier evidence reported by Capozza and Seguin(1996); Campbell et al. (2009); Cochrane (2011) to a longer horizon and broader cover-age.The observed asymmetry is difficult to reconcile with rational expectations, as itwould require implausibly large time-series variation in risk aversion or disaster risk. Bycontrast, it aligns more naturally with models of extrapolative beliefs, in which investorsoverreact to recent trends and are subsequently disappointed when prices revert (Glaeserand Nathanson, 2017; Barberis et al., 2018; Bordalo et al., 2024). We then assess whether the transmission of monetary policy to house prices dependson the degree of local housing overvaluation. To identify the impact of monetary policy, weemploy three measures of monetary policy shocks: (i) shocks identified at high-frequencyaround FOMC announcements from Bauer and Swanson (2023), (ii) narrative-based shocks from Romer and Romer (2004) (updated by Miguel Acosta), and (iii) analysts’policy rate forecast errors from De Stefani and Mano (2025). We use these instrumentsin an instrumental variable local projections framework to estimate how the dynamic ef-fects of monetary policy rates vary with t