Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach
| dc.contributor.author | Gabauer, David | |
| dc.contributor.author | Gupta, Rangan | |
| dc.date.accessioned | 2019-11-18T10:59:46Z | |
| dc.date.issued | 2020-03 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-03-01 | |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/sced | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 0969-2126 (print) | |
| dc.identifier.issn | 1878-4186 (online) | |
| dc.identifier.other | 10.1016/j.strueco.2019.09.009 | |
| dc.identifier.uri | http://hdl.handle.net/2263/72333 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_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 Structural Change and Economic Dynamics. 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 Structural Change and Economic Dynamics, vol. 52, pp. 167-173, 2020. doi : 10.1016/j.strueco.2019.09.009. | en_ZA |
| dc.subject | Financial uncertainty (FU) | en_ZA |
| dc.subject | Real estate uncertainty (REU) | en_ZA |
| dc.subject | Macroeconomic uncertainty (MU) | en_ZA |
| dc.subject | United States (US) | en_ZA |
| dc.subject | Time-varying parameter vector autoregressive (TVP-VAR) | en_ZA |
| dc.subject | Uncertainty transmission | en_ZA |
| dc.subject | Dynamic connectedness | en_ZA |
| dc.title | Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach | en_ZA |
| dc.type | Postprint Article | en_ZA |