Housing sector and economic policy uncertainty: A GMM panel VAR approach

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dc.authoridhttps://orcid.org/0000-0001-9694-5196en_US
dc.authoridhttps://orcid.org/0000-0003-3827-6187en_US
dc.authoridhttps://orcid.org/0000-0002-4967-0609en_US
dc.contributor.authorBalcılar, Mehmet
dc.contributor.authorRoubaud, David
dc.contributor.authorUzuner, Gizem
dc.contributor.authorWohar, Mark E.
dc.date.accessioned2023-07-29T08:36:34Z
dc.date.available2023-07-29T08:36:34Z
dc.date.issued2021en_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.iref.2021.05.011en_US
dc.identifier.endpage126en_US
dc.identifier.issn1059-0560
dc.identifier.issn1873-8036
dc.identifier.scopus2-s2.0-85108118126en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage114en_US
dc.identifier.urihttps://hdl.handle.net/11363/5111
dc.identifier.urihttps://doi.org/
dc.identifier.volume76en_US
dc.identifier.wosWOS:000700594500002en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorUzuner, Gizem
dc.language.isoenen_US
dc.publisherELSEVIER, RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDSen_US
dc.relation.ispartofInternational Review of Economics and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectHousing priceen_US
dc.subjectEconomic policy uncertaintyen_US
dc.subjectPanel vector autoregressionen_US
dc.titleHousing sector and economic policy uncertainty: A GMM panel VAR approachen_US
dc.typeArticleen_US

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