Time-varying impact of uncertainty shocks on the US housing market

dc.contributor.authorChristou, Christina
dc.contributor.authorGupta, Rangan
dc.contributor.authorNyakabawo, Wendy
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2019-08-22T07:22:22Z
dc.date.issued2019-07
dc.description.abstractThis paper investigates the impact of uncertainty shocks on the housing market of the United States using the time-varying parameter factor augmented vector autoregression (TVP-FAVAR). We use a comprehensive quarterly time-series dataset on real economic activity, price, and financial variables, besides housing market variables, covering the period 1963:Q1 to 2014:Q3. In addition to housing prices, we also consider variables related to home sales, permits and starts. In general, the results of the cumulative response of housing variables to a one standard deviation positive uncertainty shock at the one-, four-, eight-, and twelve-quarter-horizon tends to change over time, both in terms of sign and magnitude, with the uncertainty shock primarily negatively affecting the housing variables, in particular prices, permits and starts, in longer-runs (i.e., two- and three-years-ahead horizons).en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2020-07-01
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.elsevier.com/locate/ecoleten_ZA
dc.identifier.citationChristou, C., Gupta, R. & Nyakabawo, W. 2019, 'Time-varying impact of uncertainty shocks on the US housing market', Economics Letters, vol. 180, pp. 15-20.en_ZA
dc.identifier.issn0165-1765 (print)
dc.identifier.issn1873-7374 (online)
dc.identifier.other10.1016/j.econlet.2019.03.029
dc.identifier.urihttp://hdl.handle.net/2263/71167
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2019 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics 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 Economics Letters, vol. 180, pp. 15-20, 2019. doi : 10.1016/j.econlet.2019.03.029.en_ZA
dc.subjectHousing marketen_ZA
dc.subjectStochastic volatilityen_ZA
dc.subjectTime-varying parameter (TVP)en_ZA
dc.subjectUncertainty shocksen_ZA
dc.subjectFactor-augmented vector autoregressive (FAVAR)en_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.subjectMonetary policyen_ZA
dc.subjectIrreversibilityen_ZA
dc.subjectReturnsen_ZA
dc.titleTime-varying impact of uncertainty shocks on the US housing marketen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Christou_TimeVarying_2019.pdf
Size:
603.29 KB
Format:
Adobe Portable Document Format
Description:
Postprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: