The housing market and agricultural land dynamics: Appraising with Economic Policy Uncertainty Index

Alola, Andrew Adewale; Uzuner, Gizem

doi:10.1002/ijfe.1751

Cited by 36 publications

(18 citation statements)

References 64 publications

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“…The study findings disclose that the feedback hypothesis holds for explaining the causal effects between EPU and tourism in France, Ireland, and the United States and unidirectional causality running from tourist arrivals to EPU in Brazil, Canada, China, and Germany. The impact of EPU on the housing market and agricultural land was investigated by Alola and Uzuner ( 2020 ) with a panel of 15 counties by employing panel cointegration. The study findings suggest that the feedback hypothesis holds for explaining the causality between agricultural lands and the housing market.…”

Section: Effects Of Economic Policy Uncertaintymentioning

confidence: 99%

Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

et al. 2021

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The impetus of this study is to gauge the nexus between economic policy uncertainty (EPU) and financial innovation in Brazil, Russia, India, China, and South Africa (BRIC) nations for the period from 2004M1 to 2018M12. This study utilizes both the linear and non-linear autoregressive distributed lag (ARDL) models to evaluate the long-run and the short-run association between EPU and financial innovation; furthermore, the causal effects are investigated by following the non-Granger casualty framework. The results of long-run cointegration, i.e., the test statistics of modified F-test (FPSS), standard Wald test (WPSS), and tBDM, reject the null hypothesis and establish the presence of the long-run association between EPU and financial innovation. Conversely, long-run asymmetry cointegration revealed the test statistics of FPSS, WPSS, and tBDM in non-linear estimation. Furthermore, both in the long run and short run, the Wald test results disclose asymmetric effects running from EPU to financial innovation. In regards to the asymmetric impact of EPU on financial innovation, this study documents that the positive and negative shocks in EPU are negatively linked with financial innovation in the long run but are insignificant for short-run effects. Besides, financial innovation measured by R&D investment exhibits a positive linkage with shocks in EPU, implying that uncertainty induces innovation in the economy. Referring to causality effects, this study divulges the feedback hypothesis, i.e., bidirectional causality prevails between EPU and financial innovation in all sample countries.

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Section: Effects Of Economic Policy Uncertaintymentioning

confidence: 99%

Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

et al. 2021

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“…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%

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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“…The overall EPU index is constructed as a weighted average based upon the following underlying four components: ½ weight on broad news-based policy uncertainty index, and a weight of 1/6 for each of the remaining three components: the CPI forecast disagreement measure, the tax expiration code index, and the federal, state, local purchases disagreement measure (Baker et al, 2016). Many studies have used this index to examine the economic consequences of EPU (see, Wang et al, 2019;Rossi and Sekhposyan, 2017;Baker et al, 2016;Alola and Uzuner, 2020).…”

Section: Measuring the Epu Indexmentioning

confidence: 99%

Economic Policy Uncertainty: Are There Regional and Country Correlation?

Ozili¹

2021

SSRN Journal

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This study examines the correlation of economic policy uncertainty (EPU) across countries and regions. Using correlation analysis, the findings reveal that some countries have a positive EPU correlation while other countries have a negative EPU correlation. The economic policy uncertainty index is positively correlated and jointly significant for EU member-countries. There is evidence of cross-regional positive correlation. Also, the EPU correlations are significant for Europe, non-EU countries and the region of the Americas during the global financial crisis, which suggest that financial crises are a contributory factor that drives the correlation of economic policy uncertainty in certain regions.

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The housing market and agricultural land dynamics: Appraising with Economic Policy Uncertainty Index

Cited by 36 publications

References 64 publications

Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

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

Economic Policy Uncertainty: Are There Regional and Country Correlation?

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