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Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

Author

Listed:
  • Nikolaos Antonakakis

    (Vienna University of Economics and Business, Department of Economics, Vienna, Austria)

  • Rangan Gupta

    (Department of Economics, University of Pretoria)

  • Christophe Andre

    (Economics Department, Organisation for Economic Co-operation and Development (OECD))

Abstract

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

Suggested Citation

  • Nikolaos Antonakakis & Rangan Gupta & Christophe Andre, 2015. "Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns," Working Papers 201509, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201509
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    References listed on IDEAS

    as
    1. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 149-233.
    2. Colombo, Valentina, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro area?," Economics Letters, Elsevier, vol. 121(1), pages 39-42.
    3. Ghassen El Montasser & Ahdi N. Ajmi & Tsangyao Chang & Beatrice D. Simo-Kengne & Christophe Andre & Rangan Gupta, 2013. "Cross-Country Evidence On The Causal Relationship Between Policy Uncertainty And House Prices," Working Papers 201380, University of Pretoria, Department of Economics.
    4. Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
    5. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    6. Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
    7. John Muellbauer & Anthony Murphy, 2008. "Housing markets and the economy: the assessment," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 24(1), pages 1-33, spring.
    8. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Economic policy uncertainty; housing market return; dynamic correlation; US recession;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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