Gabauer, DavidGupta, R2025-03-082019-09-282020-032019-09-270954-349XLK7JA (isidoc)https://hdl.handle.net/10182/18209We 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.pp.167-173en© 2019 Elsevier B.V. All rights reserved.dynamic connectednessfinancial uncertaintymacroeconomic uncertaintyreal estate uncertaintyuncertainty transmissionJournal Article10.1016/j.strueco.2019.09.0091873-6017ANZSRC::350205 Household finance and financial literacyANZSRC::350207 International financeANZSRC::380112 Macroeconomics (incl. monetary and fiscal theory)ANZSRC::3502 Banking, finance and investmentANZSRC::3801 Applied economics