Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

Antonakakis, Nikolaos and Gupta, Rangan and Andre, Christophe (2015): Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns.

Abstract

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

• Item Type: MPRA Paper
• Language: English
• Keywords: Economic policy uncertainty; housing market return; dynamic correlation; US recession
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E60 - General; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E66 - General Outlook and Conditions; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation

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