Causality between economic policy uncertainty and real housing returns in emerging economies : a cross-sample validation approach

dc.contributor.authorAye, Goodness Chioma
dc.date.accessioned2019-10-07T13:52:08Z
dc.date.available2019-10-07T13:52:08Z
dc.date.issued2018-05-21
dc.description.abstractThis paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses cross-sample validation (CSV) Granger causality approach which obviates the need to partition the data into an in-sample and out-of-sample periods when limited data are available as in this study. Results based on the CSV full sample period indicate no evidence of economic policy uncertainty Granger causing real housing returns except for Chile and China. However, based on CSV rolling window results, there is evidence of time varying causality in all the countries except India. The implications of these findings are drawn.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianam2019en_ZA
dc.description.urihttps://www.cogentoa.com/journal/economics-and-financeen_ZA
dc.identifier.citationGoodness C. Aye, Causality between economic policy uncertainty and real housing returns in emerging economies: A cross-sample validation approach, Cogent Economics & Finance (2018), 6: 1473708.en_ZA
dc.identifier.issn2332-2039 (online)
dc.identifier.other10.1080/23322039.2018.1473708
dc.identifier.urihttp://hdl.handle.net/2263/71599
dc.language.isoenen_ZA
dc.publisherCogent OAen_ZA
dc.rights© 2018 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.en_ZA
dc.subjectHousing returnsen_ZA
dc.subjectIn-sampleen_ZA
dc.subjectPost-sampleen_ZA
dc.subjectRolling windowen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.subjectCross-sample validation (CSV)en_ZA
dc.titleCausality between economic policy uncertainty and real housing returns in emerging economies : a cross-sample validation approachen_ZA
dc.typeArticleen_ZA

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