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.

In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock market, housing and economic policy uncertainty (EPU). Based on monthly data over the period 1987M1 to 2014M11, our findings reveal the following features. First, the transmission...