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作者

Binh Nguyen Thanh;Johannes Strobel;Gabriel Lee

来源

REAL ESTATE ECONOMICS,Vol.48,Issue3,P.744-771

语言

英文

关键字

作者单位

E-mail address: binh.nguyenthanh@rmit.edu.vn Royal Melbourne Institute of Technology (RMIT), Vietnam Campus, Ho Chi Minh City, Vietnam E-mail address: binh.nguyenthanh@rmit.edu.vn, E-mail address: johannes.p.strobel@gmail.com, E-mail address: gabriel.lee@ur.de;E-mail address: johannes.p.strobel@gmail.com Goethe University Frankfurt, 60323 Frankfurt am Main, Germany E-mail address: binh.nguyenthanh@rmit.edu.vn, E-mail address: johannes.p.strobel@gmail.com, E-mail address: gabriel.lee@ur.de;E-mail address: gabriel.lee@ur.de University of Regensburg, 93053 Regensburg, Germany E-mail address: binh.nguyenthanh@rmit.edu.vn, E-mail address: johannes.p.strobel@gmail.com, E-mail address: gabriel.lee@ur.de

摘要

The objective of this article is twofold: first, we construct a new uncertainty measure that is specific to the real estate sector; second, we compare our uncertainty measure to other well‐established measures in the literature, such as the Macro Uncertainty (MU) by Jurado, Ludvigson and Ng. We show that our Real Estate Uncertainty (REU) measure accounts for twice as much of variation in housing prices—and starts compared to the MU. Furthermore, vector autoregressions and Granger‐causality analysis show that our uncertainty measure affects housing starts—and prices—in contrast to the other uncertainty measures that affect only housing starts.