91
Views
0
CrossRef citations to date
0
Altmetric
Research Article

The Asymmetric Effects of Real Estate Uncertainty Shock

ORCID Icon & ORCID Icon
Received 28 Jul 2022, Accepted 30 Oct 2023, Published online: 12 Dec 2023

References

  • Andre, C., Bonga-Bonga, L., Gupta, R., & Mwamba, J. W. M. (2017). Economic policy uncertainty, U.S. real housing returns and their volatility: A nonparametric approach. Journal of Real Estate Research, 39, 493–514. https://doi.org/10.1080/10835547.2017.12091484
  • Antonakakis, N., Andre, C., & Gupta, R. (2016). Dynamic spillovers in the United States: Stock market, housing, uncertainty, and the macroeconomy. Southern Economic Journal, 83, 609–624. https://doi.org/10.1002/soej.12149
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131, 1596–1636. https://doi.org/10.1093/qje/qjw024
  • Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98, 85–106. https://doi.org/10.2307/1885568
  • Billio, M., Casarin, R., Ravazzolo, F., & Dijk, H. K. V. (2016). Interconnections between Eurozone and US booms and bursts using a Bayesian panel Markov-switching VAR model. Journal of Applied Econometrics, 31, 1352–1370. https://doi.org/10.1002/jae.2501
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77, 623–685.
  • Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28, 153–175. https://doi.org/10.1257/jep.28.2.153
  • Brooks, S. P., & Gelman, A. (1997). General methods for monitoring convergence of iterative simulations. Journal of Computational and Graphical Statistics, 7, 434–455. https://doi.org/10.2307/1390675
  • Caggiano, G., Castelnuovo, E., & Figueres, J. M. (2020). Economic Policy Uncertainty Spillovers in Booms and Busts. Oxford Bulletin of Economics and Statistics, 82, 125–155. https://doi.org/10.1111/obes.12323
  • Caggiano, G., Castelnuovo, E., & Nodari, G. (2017). Uncertainty and monetary policy in good and bad times. Melbourne Institute Working Paper. https://ssrn.com/abstract=2939377
  • Caldara, D., Fuentes-Albero, C., Gilchrist, S., & Zakrajsek, E. (2016). The macroeconomic impact of financial and uncertainty shocks [International Finance Discussion Papers 1166]. https://doi.org/10.17016/IFDP.2016.1166
  • Cepni, O., Gupta, R., & Wohar, M. E. (2020). The role of real estate uncertainty in predicting US home sales growth: Evidence from a quantiles based Bayesian model averaging approach. Applied Economics, 52, 528–536. https://doi.org/10.1080/00036846.2019.1654082
  • Cepni, O., Marfatia, H., & Gupta, R. (2021). The time-varying impact of uncertainty shocks on the comovement of regional housing prices of the United Kingdom [Working paper 202168]. University of Pretoria.
  • Chib, S. (2001). Markov chain Monte Carlo methods: Computation and inference. In J. Heckman, J. & E. Leamer (Eds.), Handbook of econometrics (vol. 5, pp. 3569–3649). North Holland.
  • Dixit, R. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton University Press.
  • Dorofeenko, V., Lee, G. S., & D.Salyer, K. (2014). Risk shocks and housing supply: A quantitative analysis. Journal of Economic Dynamics and Control, 45, 194–219. https://doi.org/10.1016/j.jedc.2014.05.014
  • Emmons, W. R. (2018). Recession signals: Four housing indicators to watch in 2019. Federal Reserve Bank of St. Louis Housing Market Perspectives.
  • Emmons, W. R. (2019a). Recession signals: Home sales trend lower in all four regions. Federal Reserve Bank of St. Louis Housing Market Perspectives.
  • Emmons, W. R. (2019b). Recession signals: Housing indicators remain consistent with a broader slowdown in 2020. Federal Reserve Bank of St. Louis Housing Market Perspectives.
  • Gabauer, D., & Gupta, R. (2020). Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach. Structural Change and Economic Dynamics, 52, 167–173. https://doi.org/10.1016/j.strueco.2019.09.009
  • Gelman, A., & Rubin, D. B. (1992). Inference from iterative simulation using multiple sequences. Statistical Science, 7, 457–472. https://doi.org/10.1214/ss/1177011136
  • Geweke, J. (1992). Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. Federal Reserve Bank of Minneapolis.
  • Gupta, R., Sheng, X., & Ji, Q. (2021). Movements in real estate uncertainty in the United States: The role of oil shocks. Applied Economics Letters, 28, 1059–1065. https://doi.org/10.1080/13504851.2020.1796911
  • Han, L. (2010). The effects of price risk on housing demand: Empirical evidence from US markets. Review of Financial Studies, 23, 3889–3928. https://doi.org/10.1093/rfs/hhq088
  • Hassler, J. (1996). Variations in risk and fluctuations in demand: A theoretical model. Journal of Economic Dynamics and Control, 20, 1115–1143. https://doi.org/10.1016/0165-1889(95)00892-6
  • Heidelberger, P., & Welch, P. D. (1983). Simulation run length control in the presence of an initial transient. Operations Research, 31, 1109–1144. https://doi.org/10.1287/opre.31.6.1109
  • Herwartz, H., & Lutkepohl, H. (2014). Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks. Journal of Econometrics, 183(1), 104–116. https://doi.org/10.1016/j.jeconom.2014.06.012
  • Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: Bubbles, fundamentals, and misperceptions. Journal of Economic Perspectives, 19, 67–92. https://doi.org/10.1257/089533005775196769
  • Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105, 1177–1216. https://doi.org/10.1257/aer.20131193
  • Karame, F. (2015). Asymmetries and Markov-switching structural VAR. Journal of Economic Dynamics and Control, 53, 85–102. https://doi.org/10.1016/j.jedc.2015.01.007
  • Kim, Y. M., & Kang, K. H. (2022). Bayesian inference of multivariate regression models with endogenous Markov regime-switching parameters. Journal of Financial Econometrics, 20, 391–436. https://doi.org/10.1093/jjfinec/nbaa021
  • Kim, Y. M., & Lee, S. (2023). Spillover shifts in the FX market: A new property of a safe haven currency. The North American Journal of Economics and Finance, 65, Article 101885.
  • Kose, M. A., & Terrones, M. E. (2012). How does uncertainty affect economic performance? IMF World Economic Outlook, 49–53.
  • Krolzig, H.-M. (1997). Markov switching vector autoregressions: Modelling, statistical inference and application to business cycle analysis. Springer.
  • Lanne, M., Lutkepohl, H., & Maciejowska, K. (2010). Structural vector autoregressions with Markov switching. Journal of Economic Dynamics and Control, 34, 121–131. https://doi.org/10.1016/j.jedc.2009.08.002
  • Leamer, E. E. (2007). Housing Is the business cycle. NBER Working Paper.
  • Leduc, S., & Liu, Z. (2016). Uncertainty shocks are aggregate demand shocks. Journal of Monetary Economics, 82, 20–35. https://doi.org/10.1016/j.jmoneco.2016.07.002
  • Lewis, A. E. R. S. M. (1992). Practical Markov chain Monte Carlo: Comment: One long run with diagnostics: Implementation strategies for Markov chain Monte Carlo. Statistical Science, 7, 493–497. https://doi.org/10.1214/ss/1177011143
  • Lhuissier, S., & Tripier, F. (2021). Regime-dependent effects of uncertainty shocks: A structural interpretation. Quantitative Economics, 12, 1139–1170. https://doi.org/10.3982/QE1298
  • Liu, H., Lucca, D. O., Parker, D., & Rays-Wahb, G. (2021). The housing boom and the decline in mortgage rates. Liberty Street Economics, Federal Reserve Bank of New York.
  • Ludvigson, S. C., Ma, S., & Ng, S. (2021). Uncertainty and business cycles: Exogenous impulse or endogenous response? American Economic Journal: Macroeconomics, 13, 369–410. https://doi.org/10.1257/mac.20190171
  • Marfatia, H. A., Andre, C., & Gupta, R. (2020). Predicting housing market sentiment: The role of financial, macroeconomic and real estate uncertainties. Journal of Behavioral Finance, 23, 189–209. https://doi.org/10.1080/15427560.2020.1865354
  • Maria, C., & Fountas, S. (2018). Uncertainty in the housing market: Evidence from US states. Studies in Nonlinear Dynamics & Econometrics, 22(2), Article 20160064. https://doi.org/10.1515/snde-2016-0064
  • Miles, W. (2009). Irreversibility, uncertainty and housing investment. Journal of Real Estate Finance and Economics, 38, 173–182. https://doi.org/10.1007/s11146-007-9087-x
  • Musso, A., Neri, S., & Stracca, L. (2011). Housing, consumption and monetary policy: How different are the US and the Euro area? Journal of Banking & Finance, 35, 3019–3041. https://doi.org/10.1016/j.jbankfin.2011.04.004
  • Noh, S. (2020). The effects and origins of house price uncertainty shocks. SSRN. http://dx.doi.org/10.2139/ssrn.3530350
  • Pesaran, M., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58, 17–29. https://doi.org/10.1016/S0165-1765(97)00214-0
  • Romer, C. D. (1990). The great crash and the onset of the Great Depression. The Quarterly Journal of Economics, 105, 597–624. https://doi.org/10.2307/2937892
  • Schruben, L. W. (1982). Detecting initialization bias in simulation output. Operations Research, 30, 569–590. https://doi.org/10.1287/opre.30.3.569
  • Sims, C. A., Waggoner, D. F., & Zha, T. (2008). Methods for inference in large multiple-equation Markov-switching models. Journal of Econometrics, 146, 255–274. https://doi.org/10.1016/j.jeconom.2008.08.023
  • Sims, C. A., & Zha, T. (2006). Were there regime switches in U.S. monetary policy? American Economic Review, 96(1), 54–81. https://doi.org/10.1257/000282806776157678
  • Sutton, G. D. (2002, September). Explaining changes in house prices. BIS Quarterly Review. Bank for International Settlements.
  • Thanh, B. N., Strobel, J., & Lee, G. (2020). A new measure of real estate uncertainty shocks. Real Estate Economics, 48, 744–771. https://doi.org/10.1111/1540-6229.12270
  • Zellner, A., & Min, C.-K. (1995). Gibbs sampler convergence criteria. Journal of the American Statistical Association, 90, 921–927. https://doi.org/10.1080/01621459.1995.10476591

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.