Thanh, Binh Nguyen and Strobel, Johannes and Lee, Gabriel (2020) A New Measure of Real Estate Uncertainty Shocks. REAL ESTATE ECONOMICS, 48 (3). pp. 744-771. ISSN 1080-8620, 1540-6229
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | RISK; INVESTMENT; IMPACT; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 17 Mar 2021 09:35 |
| Last Modified: | 17 Mar 2021 09:35 |
| URI: | https://pred.uni-regensburg.de/id/eprint/43953 |
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