EconPapers    
Economics at your fingertips  
 

Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test

Elie Bouri (), Rangan Gupta (), Clement Kyei and Rinsuna Shivambu ()
Additional contact information
Rinsuna Shivambu: Department of Economics, University of Pretoria, Pretoria, 0002, South Africa

No 202071, Working Papers from University of Pretoria, Department of Economics

Abstract: We analyse the ability of a newspaper-based metric of uncertainty of the United States in predicting housing market movements using daily data over the period 2nd August, 2007 to 24th June, 2020. For our purpose, we use a k-th order nonparametric causality-in-quantiles test, which allows us to test for predictability over the entire conditional distribution of not only housing returns but also volatility by controlling for misspecification due to nonlinearity and structural breaks – both of which we show to exist between housing returns and the uncertainty index. Our results show that uncertainty does indeed predict housing returns and volatility, barring the extreme upper end of the respective conditional distributions. Our results are robust to eight other popular measures of uncertainty, as well as an alternative data set involving daily housing prices of the US and ten major metropolitan statistical areas (MSAs). Our findings have important implications for academics, investors, and policymakers.

Keywords: Uncertainty; Housing Returns and Volatility; Higher-Order Nonparametric Causality-in-Quantiles Test (search for similar items in EconPapers)
JEL-codes: C22 C32 R30 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2020-08
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202071

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2020-11-23
Handle: RePEc:pre:wpaper:202071