Time-varying impact of uncertainty shocks on the US housing market

Christina Christou, Rangan Gupta and Wendy Nyakabawo

Economics Letters, 2019, vol. 180, issue C, 15-20

Abstract: This paper investigates the impact of uncertainty shocks on the housing market of the United States using the time-varying parameter factor augmented vector autoregression (TVP-FAVAR). We use a comprehensive quarterly time-series dataset on real economic activity, price, and financial variables, besides housing market variables, covering the period 1963:Q1 to 2014:Q3. In addition to housing prices, we also consider variables related to home sales, permits and starts. In general, the results of the cumulative response of housing variables to a one standard deviation positive uncertainty shock at the one-, four-, eight-, and twelve-quarter-horizon tends to change over time, both in terms of sign and magnitude, with the uncertainty shock primarily negatively affecting the housing variables, in particular prices, permits and starts, in longer-runs (i.e., two- and three-years-ahead horizons).

Keywords: Housing market; Stochastic volatility; Time-varying parameter; FAVAR; Uncertainty shocks (search for similar items in EconPapers)
JEL-codes: C15 C32 E32 R31 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Working Paper: Time-Varying Impact of Uncertainty Shocks on the US Housing Market (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:180:y:2019:i:c:p:15-20

DOI: 10.1016/j.econlet.2019.03.029

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