Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach

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Authors

Gabauer, David
Gupta, Rangan

Journal Title

Journal ISSN

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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.

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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

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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.