Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

Nikolaos Antonakakis, Rangan Gupta and Christophe André

No 201509, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

Keywords: Economic policy uncertainty; housing market return; dynamic correlation; US recession (search for similar items in EconPapers)
JEL-codes: C32 E60 E66 G10 G18 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2015-02
New Economics Papers: this item is included in nep-mac, nep-mfd and nep-ure
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Citations: View citations in EconPapers (47)

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Journal Article: Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns (2015)
Working Paper: Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201509

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