The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach

Christophe André, Lumengo Bonga-Bonga, Rangan Gupta and John Weirstrass Muteba Mwamba

No 201582, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes whether a news-based measure of economic policy uncertainty (EPU) helps predict movements in real housing returns. We find evidence of structural breaks and nonlinearity in the relationship between real housing returns and EPU. Hence, we employ a k-th order non-parametric Granger causality test, which is robust to such features. We find strong evidence that economic policy uncertainty affects both real housing returns and their volatility. This suggests that investors in property or related securities can gain information from EPU, not only for predicting future returns, but also in assessing related risks.

Keywords: Economic policy uncertainty; real housing returns; volatility; non-parametric causality (search for similar items in EconPapers)
JEL-codes: C32 C58 G10 G17 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2015-11
New Economics Papers: this item is included in nep-for and nep-ure
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201582

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