A New Measure of Real Estate Uncertainty Shocks

The objective of this article is twofold: first, we construct a new uncertainty measure that is specific to the real estate sector; second, we compare our uncertainty measure to other well‐established measures in the literature, such as the Macro Uncertainty (MU) by Jurado, Ludvigson and Ng. We show...

Full description

Saved in:
Bibliographic Details
Published inReal estate economics Vol. 48; no. 3; pp. 744 - 771
Main Authors Nguyen Thanh, Binh, Strobel, Johannes, Lee, Gabriel
Format Journal Article
LanguageEnglish
Published Bloomington Blackwell Publishing Ltd 01.09.2020
Subjects
Alliances
Housing
Housing starts
Real estate
Uncertainty
Online AccessGet full text
ISSN1080-8620
1540-6229
DOI10.1111/1540-6229.12270

Cover

More Information
Summary:The objective of this article is twofold: first, we construct a new uncertainty measure that is specific to the real estate sector; second, we compare our uncertainty measure to other well‐established measures in the literature, such as the Macro Uncertainty (MU) by Jurado, Ludvigson and Ng. We show that our Real Estate Uncertainty (REU) measure accounts for twice as much of variation in housing prices—and starts compared to the MU. Furthermore, vector autoregressions and Granger‐causality analysis show that our uncertainty measure affects housing starts—and prices—in contrast to the other uncertainty measures that affect only housing starts.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1080-8620
1540-6229
DOI:10.1111/1540-6229.12270