Item

Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

Authors
Gabauer, David, Gupta, R
Date
2020-03
Type
Journal Article
Collections
Metadata-only (no full-text)
Keywords
dynamic connectedness, financial uncertainty, macroeconomic uncertainty, real estate uncertainty, uncertainty transmission
Fields of Research
ANZSRC::350205 Household finance and financial literacy, ANZSRC::350207 International finance, ANZSRC::380112 Macroeconomics (incl. monetary and fiscal theory), ANZSRC::3502 Banking, finance and investment, ANZSRC::3801 Applied 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.
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Permalink
https://hdl.handle.net/10182/18209
Source DOI
10.1016/j.strueco.2019.09.009
Rights
© 2019 Elsevier B.V. All rights reserved.
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