This study examined the response of the residential property price index (RPPI) to monetary policy shocks. The analysis utilized a panel vector autoregressive (VAR) estimation covering the markets of 12 emerging countries over a quarterly period from 2000 Q1 to 2022 Q4. In a dynamic data model, the panel VAR estimation could be biased when the coefficients of the endogenous variables differ across countries. The results of the pooling assumption showed that the models contain heterogeneity among samples, indicating the need for a solution to address this problem. Consequently, a mean group estimation for the panel VAR was performed to resolve the heterogeneity issue. The residential property price index negatively responded to changes in housing loan (HL) and central bank (CB) interest rates. In contrast, it positively responded to changes in inflation, gross domestic product, and population. This research provided policymakers with recommendations on emerging market demand. To successfully interfere in the property market, policymakers must pay greater attention to formulating monetary policy, notably central bank interest rates. A steady central bank policy rate prevents growth in the property sector. Future research should include macroprudential policy as an endogenous component in the model.