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Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach

David Gabauer and Rangan Gupta ()
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David Gabauer: Institute of Applied Statistics, Johannes Kepler University, Altenbergerstraẞe 69, 4040 Linz, Austria and Department of Business and Management, Webster Vienna Private University, Praterstraẞe 23, 1020 Vienna, Austria

No 201944, Working Papers from University of Pretoria, Department of Economics

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; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C32 E32 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-mac and nep-ure
Date: 2019-06
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