 Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation ApproachGoodness Aye ()
No 201827, Working Papers from University of Pretoria, Department of Economics Abstract: This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses cross-sample validation (CSV) Granger causality approach which obviates the need to partition the data into an in-sample and out-of-sample periods when limited data are available as in this study. Results based on the CSV full sample period indicate no evidence of economic policy uncertainty Granger causing real housing returns except for Chile and China. However, based on CSV rolling window results, there is evidence of time varying causality in all the countries except India. The implications of these findings are drawn. Keywords: Economic policy uncertainty; housing returns; cross-sample validation causality; in-sample; post-sample; rolling window (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201827 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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