Economic Policy Uncertainty, U.S. Real Housing Returns and Their Volatility: A Nonparametric Approach

André, Christophe; Bonga‐Bonga, Lumengo; Gupta, Rangan; Mwamba, John Weirstrass Muteba

doi:10.1080/10835547.2017.12091484

Cited by 50 publications

(28 citation statements)

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“…Since the global meltdown of the economy in the 1930s, a worst crisis of such was not experienced until another 2007 global economic crisis. This recent GFC experience was largely reported to have caused the housing market meltdown, and as significantly triggered by the subprime mortgage crisis (André, Bonga‐Bonga, Gupta, & Muteba Mwamba, 2017). Also recently, extant literature has shown linkages in the volatility of housing market dynamics and uncertainty indices (André, Bonga‐Bonga, Gupta, Mwamba, & Weirstrasd, 2015; Burnside, Eichenbaum, & Rebelo, 2016; Christou, Gupta, & Hassapis, 2017; Ongan & Gocer, 2017; Alola, 2019a Alola, Asongu & Alola, 2019; Alola, & Uzuner, 2020).…”

Section: Introductionmentioning

confidence: 99%

“…Specifically, the work of Burnside et al (2016) relates uncertainty with demand for housing and found that uncertainty affects housing returns. Also, André et al (2017) expressed the tendency of high uncertainty to cause volatility increase in house price as well the return to risk properties of property investment. The study of the impact of uncertainty on housing market vis‐à‐vis housing prices is highly informative to prospective homeowners, financial institutions, economic planners, policymakers, and real estate and property developers.…”

Section: Introductionmentioning

confidence: 99%

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Evidence of speculative bubbles and regime switch in real estate market and crude oil price: Insight from Saudi Arabia

Alola

2020

Int. J Fin Econ

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The sector performances of many economies especially the oil‐producing ones, are consistently linked with the volatility of the international crude oil prices. Considering the significance of the international crude oil price to the economy of the Saudi Arabia, the current study investigates the dynamics of the crude oil price and the country's real estate market. This is achieved by investigating the evidence of both speculative bubbles and regime switching in the crude oil and real estate market from October 3, 2005, to March 29, 2018. As such, the Supremum Augmented Dickey–Fuller (SADF) and Markov switching regression model were employed. Although there is no significant evidence of speculative bubbles in the Saudi Arabia's real estate market, the result reveals statistical significant evidence of price bubbles in the Brent crude oil price especially between the period of 2007 to 2008, which coincides with the Global Financial Crisis period. However, the Markov switching investigation reveal that there is evidence of significant and positive impact of crude oil price return on the real estate market in the regimes. Importantly, empirical evidence shows that the impact is higher in Regime 2 even as the global factor (proxy volatility index) is evidently significant. Although the regimes are persistent, the expected regime duration of the stable regime is of the higher quarter. This investigation is statistically significant and robust, especially when Organization of the Petroleum Exporting Countries (OPEC) price of crude oil is used in lieu of the European Brent price. The estimation result encourages more strict energy policies that tackle the Saudi Arabia's energy and the real estate challenges.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Evidence of speculative bubbles and regime switch in real estate market and crude oil price: Insight from Saudi Arabia

Alola

2020

Int. J Fin Econ

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“…The results show that housing has a possible protective task against uncertainty. Andre et al [33] analyze whether economic policy uncertainty (EPU) in the USA predicts the actual housing revenue moves. They see that EPU impacts both actual housing returns and fluctuations.…”

Section: -Literature Reviewmentioning

confidence: 99%

The Uncertainty Index and Foreign Direct Real Estate Investments in Developing Economies

Karadağ

2021

Emerg Sci J

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Attainment of standards in a country’s real estate market to meet international investors’ expectations contributes significantly to the real estate sector. However, in developing economies characterized by an environment of uncertainty where stability cannot be achieved, direct investments in real estate can bring returns to foreign investors. This is because economic uncertainty in developing countries raises the exchange rate. An increase in the exchange rate keeps real estate prices in developing countries relatively low. Foreign investors then take advantage of the low prices to invest in real estate in that country. The study aims to research whether the uncertainty in developing countries increases the foreign direct real estate investments. The study examines the relationship between the uncertainties in selected developing economies in Europe and the real estate investments by foreigners in the period 2008–2018. Gengenbach, Urbain, and Westerlund Panel Cointegration test and PDOLS coefficient estimation methods were used in the study. According to the analysis results, a 1% increase in the uncertainty index in the economies examined increases foreign direct investments by 5.731%. Since this study is one of the most detailed studies measuring foreign direct real estate investments under uncertainty conditions in the economy, it contributes to the literature. To sustainably increase foreigners’ direct real estate investments in developing countries, economic and political stability should be prioritized. Facilitating the bureaucratic process, providing tax reductions, making real estate suitable for demand, following the appropriate price policy, and making various environmental regulations will also increase foreigners’ direct real estate investments. Doi: 10.28991/esj-2021-01293 Full Text: PDF

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“…In a related stream of literature, there has also been a surge of interest in studying the relationship between uncertainty and housing market returns, especially in the wake of the 2007 subprime mortgage crisis in the U.S. housing market, and the subsequent 2008-2009 Global Financial Crisis (GFC), in which a meltdown in the U.S. housing market acts as a catalyst for an economic and financial crisis that spreads globally [10][11][12][13][14][15][16]. It is noteworthy that existing studies mainly examine the link of uncertainty and housing markets at the aggregate country level and mostly use a news-based measure of uncertainty, such as the economic policy uncertainty (EPU) index of Reference [17].…”

Section: Introductionmentioning

confidence: 99%

The Impact of Uncertainty on State-Level Housing Markets of the United States: The Role of Social Cohesion

Dai

Sheng

2021

Sustainability

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While considering the role of social cohesion, we analyse the impact of uncertainty on housing markets across the 50 states of the United States, plus the District of Columbia, using the local projection method for panel data. We find that both short-term and long-term measurements of macroeconomic and financial uncertainties reduce real housing returns, with the strongest effect originated from the macro-economic uncertainty over the long term. Moreover, the degree of social cohesion does not change the nature of the impact of uncertainty on real housing returns dramatically, but the size of the negative effects is relatively large for states with low social cohesion.

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Economic Policy Uncertainty, U.S. Real Housing Returns and Their Volatility: A Nonparametric Approach

Cited by 50 publications

References 0 publications

Evidence of speculative bubbles and regime switch in real estate market and crude oil price: Insight from Saudi Arabia

Evidence of speculative bubbles and regime switch in real estate market and crude oil price: Insight from Saudi Arabia

The Uncertainty Index and Foreign Direct Real Estate Investments in Developing Economies

The Impact of Uncertainty on State-Level Housing Markets of the United States: The Role of Social Cohesion

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