Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Nikolaos Antonakakis and Christos Floros

International Review of Financial Analysis, 2016, vol. 44, issue C, 111-122

Abstract: In this study, we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1–2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to economic fluctuations in the United Kingdom. Second, spillovers show large variations over time. Third, in the wake of the global financial crisis, spillovers have reached unprecedented levels. Specifically, we find large spillovers of shocks from the housing market, stock market and economic policy uncertainty to inflation, economic growth and monetary policy stance. These results illustrate the contagion from the housing and financial crisis to the real economy and the policy reaction to stabilize the economy.

Keywords: Housing market; Stock market; Economic policy uncertainty; Spillover; Vector autoregression; Impulse response (search for similar items in EconPapers)
JEL-codes: C32 E40 E50 G10 G20 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521916000077
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:44:y:2016:i:c:p:111-122

DOI: 10.1016/j.irfa.2016.01.006

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().