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    Housing price uncertainty and housing prices in the UK in a time-varying environment
    (SPRINGER, VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS, 2023) Balcilar, Mehmet; Uzuner, Gizem; Bekun, Festus Victor; Wohar, Mark E.
    This study ofers a new perspective on the dynamic causal relationship between housing price uncertainty and housing prices in a time-varying environment for the UK for the frst time in the literature. This study aims to investigate whether housing market uncertainty has any time-varying efect on housing prices between 1998:Q1 and 2019:Q2. A key distinction of this study is the use of a news-based housing price uncertainty index. This index measures uncertainty pertaining especially to the housing market in the UK. To this end, we include two main classes using timevarying parameter, rolling estimation and recursive rolling estimation for robustness analysis. Furthermore, we add economic policy uncertainty into the models to see whether housing market uncertainty has predictive power after controlling for economic policy uncertainty because housing market uncertainty may be largely driven by economic policy uncertainty and key macro-economic indicators. It turns out that there is a part of housing market uncertainty beyond economic policy uncertainty that helps to predict housing prices in UK. These outcomes are reinforced by the results of time-varying Granger causality tests that real housing price index is largely driven by the housing price uncertainty index. Furthermore, it is found that the uncertainty variables have a negative impact on real housing prices. This position calls for insolation in the housing market in UK from externalities such as housing price uncertainty.
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    Housing sector and economic policy uncertainty: A GMM panel VAR approach
    (ELSEVIER, RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS, 2021) Balcılar, Mehmet; Roubaud, David; Uzuner, Gizem; Wohar, Mark E.
    This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of panel of 16 countries over the period 2004–2018. The study includes economic growth, short-term interest rate, and population as additional covariates. Empirical results show that a positive shock to EPU leads to a decrease in housing prices with EPU showing only a weak response to housing price shocks. This implies that EPU has a robust predictive power for the housing market, implying the need for evaluating the associated risks. The panel Granger causality tests indicate strong and robust Granger causality from the EPU to housing prices, but not vice versa. The causal links also indicate that the effect of the EPU on RHP is direct rather than indirect through other variables. Based on these outcomes, policy recommendations are made for real estate agents, portfolio managers, and policy makers.