Time-varying spillovers between housing sentiment and housing market in the United States

Andre, Christophe; Gabauer, David; Gupta, Rangan

dc.contributor.author	Andre, Christophe
dc.contributor.author	Gabauer, David
dc.contributor.author	Gupta, Rangan
dc.date.accessioned	2021-04-13T08:34:37Z
dc.date.issued	2021-10
dc.description.abstract	This paper investigates spillovers between the housing sentiment index of Bork et al.(2020), common factors in US real housing returns and their volatility, GDP growth and real interest rates. We find that in contrast to spillovers from the common factor of housing returns to housing sentiment and GDP, reverse spillovers are relatively weak. This suggests that, while a shock to housing prices is likely to have a significant impact on housing sentiment and the economy, a purely exogenous shock to housing sentiment may in itself have little impact on housing returns and volatility.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2022-01-08
dc.description.librarian	hj2021	en_ZA
dc.description.uri	http://www.elsevier.com/locate/frl	en_ZA
dc.identifier.citation	André, C., Gabauer, D. & Gupta, R. 2021, 'Time-varying spillovers between housing sentiment and housing market in the United States', Finance Research Letters, vol. 42, art. 101925, pp. 1-8.	en_ZA
dc.identifier.issn	1544-6123 (print)
dc.identifier.issn	1544-6131 (online)
dc.identifier.other	10.1016/j.frl.2021.101925
dc.identifier.uri	http://hdl.handle.net/2263/79409
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 42, art. 101925, pp. 1-8, 2021. doi : 10.1016/j.frl.2021.101925.	en_ZA
dc.subject	Common housing market movements	en_ZA
dc.subject	Sentiment	en_ZA
dc.subject	Time-varying spillovers	en_ZA
dc.title	Time-varying spillovers between housing sentiment and housing market in the United States	en_ZA
dc.type	Postprint Article	en_ZA