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

被引：48

作者：

Gabauer, David ^{[1
,2
]}

Gupta, Rangan ^{[3
]}

机构：

[1] Johannes Kepler Univ Linz, Inst Appl Stat, Altenbergerstr 69, Linz 4040, Austria

[2] Webster Vienna Private Univ, Dept Business & Management, Praterstr 23, Vienna 1020, Austria

[3] Univ Pretoria, Dept Econ, Pretoria, South Africa

来源：

STRUCTURAL CHANGE AND ECONOMIC DYNAMICS | 2020年 / 52卷

关键词：

Dynamic connectedness; Uncertainty transmission; Real estate uncertainty; Macroeconomic uncertainty; Financial uncertainty; ECONOMIC-POLICY UNCERTAINTY; IMPULSE-RESPONSE ANALYSIS; UNIT-ROOT; INTERNATIONAL SPILLOVERS; EFFICIENT TESTS; SERIES; US; CONNECTEDNESS; CAUSALITY; STATISTICS;

D O I：

10.1016/j.strueco.2019.09.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：167 / 173

页数：7

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