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Time-frequency connectedness across housing markets, stock market and uncertainty: A Wavelet-Time Varying Parameter Vector Autoregression

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Abstract

In this study the time-frequency uncertainty and connectedness across housing markets, stock market are investigated through wavelet coherence analysis based on a continuous wavelet transform. Moreover, another interesting question about whether the risk in housing market would be spilled-over from one region to another is answered using a novel model whose strength lies in combining wavelet analysis with Time Varying Parameter Vector Auto-regression (W-TVP-VAR). Our analysis reveals evidence of long-run interdependence that intensified during the crisis period across short, medium, and long investment horizons. Moreover, the findings suggest a role for volatility spillover in the housing market from one region to another. The results of the latter connectedness in the network indicate that the housing market in one region is dominated by housing prices in another region.

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  • Huthaifa Alqaralleh & Gazi Salah Uddin & Canepa, Alessandra, 2022. "Time-frequency connectedness across housing markets, stock market and uncertainty: A Wavelet-Time Varying Parameter Vector Autoregression," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202204, University of Turin.
    • Handle: RePEc:uto:dipeco:202204
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