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Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

David Gabauer and Rangan Gupta ()

Structural Change and Economic Dynamics, 2020, vol. 52, issue C, 167-173

Abstract: We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.

Keywords: Dynamic connectedness; Uncertainty transmission; Real estate uncertainty; Macroeconomic uncertainty; Financial uncertainty (search for similar items in EconPapers)
JEL-codes: C32 E32 F42 (search for similar items in EconPapers)
Date: 2020
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Related works:
Working Paper: Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach (2019)
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DOI: 10.1016/j.strueco.2019.09.009

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