Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

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Year of publication:	2015-02-28
Authors:	Antonakakis, Nikolaos ; Gupta, Rangan ; Andre, Christophe
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Economic policy uncertainty \| housing market return \| dynamic correlation \| US recession

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; E60 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook. General ; E66 - General Outlook and Conditions ; G10 - General Financial Markets. General ; G18 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011186484