Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach
Loading...
Date
Authors
Gabauer, David
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.
Description
Keywords
Financial uncertainty (FU), Real estate uncertainty (REU), Macroeconomic uncertainty (MU), United States (US), Time-varying parameter vector autoregressive (TVP-VAR), Uncertainty transmission, Dynamic connectedness
Sustainable Development Goals
Citation
Gabauer, D. & Gupta, R. 2020, 'Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach', Structural Change and Economic Dynamics, vol. 52, pp. 167-173.