2020
DOI: 10.1108/ijhma-03-2020-0020
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The effects of uncertainty shocks on global housing markets

Abstract: Purpose This paper aims to investigate how different uncertainty shocks affect international housing prices. Design/methodology/approach The authors set up a model of housing price instability with four uncertainty variables and apply the panel generalized method of moments method and quantile regression to estimate the linear and non-linear linkages among the variables based on data of 56 countries from 2001Q1 to 2018Q2. Findings Some empirical findings are as follows. Higher macroeconomic uncertainty and… Show more

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Cited by 12 publications
(9 citation statements)
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References 67 publications
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“…The response of real house prices to an instantaneous volatility shock is much more rapid and pronounced in the crisis regime. First of all, our findings show that the negative effect of the uncertainty shock on the mortgage yield is consistent with the results of previous studies (André et al, 2017;Antonakakis et al, 2015;Chien and Setyowati, 2021;Christidou and Fountas, 2018;Christou et al, 2019). Furthermore, the peak fall in real house prices is nearly twice as large during financial distress ( 0.04% versus 0.02%).…”
Section: -Panel Bsupporting
confidence: 92%
“…The response of real house prices to an instantaneous volatility shock is much more rapid and pronounced in the crisis regime. First of all, our findings show that the negative effect of the uncertainty shock on the mortgage yield is consistent with the results of previous studies (André et al, 2017;Antonakakis et al, 2015;Chien and Setyowati, 2021;Christidou and Fountas, 2018;Christou et al, 2019). Furthermore, the peak fall in real house prices is nearly twice as large during financial distress ( 0.04% versus 0.02%).…”
Section: -Panel Bsupporting
confidence: 92%
“…Chien and Setyowati (2021) also find that higher macroeconomic uncertainty and global economic policy risk increase HP instability. GDP growth reflects the dynamics of the economic cycle.…”
Section: Literature Analysismentioning
confidence: 78%
“…Moreover, the performance of Asian-Pacific securitized real estate markets is significantly influenced by global shocks. Similarly, Chien and Setyowati (2020) explore uncertainty-related shocks in global real estate prices. The findings exhibit uncertain macroeconomic and global economic policy risk as the fundamental components that increased the unpredictability of the real estate market.…”
Section: The Impact Of Global Economic Policy Uncertainty On Real Est...mentioning
confidence: 99%
“…Previously, extensive studies had been conducted to analyze the dynamic influence of EPU on the global financial markets and real estate markets (Zhu et al , 2021; Hasan et al , 2020; Wu et al , 2016; Su et al , 2016; Antonakakis et al , 2015 and Balcilar et al , 2021). Moreover, limited literature has evaluated the connectedness between GEPU and the regional real estate and financial markets (Li et al , 2020; Wu and Wu, 2021; Chien and Setyowati, 2020; Oertel et al , 2020). A study by Li et al (2020) evaluated the influence of GEPU on the volatility of Chinese stock markets.…”
Section: Introductionmentioning
confidence: 99%