Nexus between monetary policy uncertainty and real estate market volatility in COVID-19 peak and recovery period

Haobo Zou, Mansoora Ahmed, Syed Ali Raza and Rija Anwar

International Journal of Housing Markets and Analysis, 2023, vol. 18, issue 2, 455-477

Abstract: Purpose - Monetary policy has major impacts on macroeconomic indicators of the country. Accordingly, uncertainty regarding monetary policy shifts can cause challenges and risks for businesses, financial markets and investors. Thus, the purpose of this study is to investigate how real estate market volatility responds to monetary policy uncertainty. Design/methodology/approach - The GARCH-MIDAS model is applied in this study to investigate the nexus between monetary policy uncertainty and real estate market volatility. This model was fundamentally instituted to accommodate low-frequency variables. Findings - The results of this study reveal that increased monetary policy uncertainty highly affects the volatility in real estate market during the peak period of COVID-19 as compared to full sample period and COVID-19 recovery period; hence, a significant decline is evident in real estate market volatility during crisis. Originality/value - This study is particularly focused on peak and recovery period of COVID-19 considering the geographical region of Greece, Japan and the USA. This study provides a complete perspective on the nexus between monetary policy uncertainty and real estate markets volatility in three distinct economic views.

Keywords: Monetary policy uncertainty; Real estate market; Volatility; GARCH-MIDAS model; COVID-19 peak period; COVID-19 recovery period (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijhmap:ijhma-10-2023-0130

DOI: 10.1108/IJHMA-10-2023-0130

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