A New Measure of Real Estate Uncertainty Shocks
A New Measure of Real Estate Uncertainty Shocks
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DOI：
10.1111/1540-6229.12270
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发表时间：
2020-09-01
影响因子：
2.2
通讯作者：
Lee, Gabriel
中科院分区：
文献类型：
--
作者：
Binh Nguyen Thanh;Strobel, Johannes;Lee, Gabriel
本文的目的是双重的：首先，我们构建了一个新的不确定性措施，是具体的真实的房地产行业;其次，我们比较我们的不确定性措施，其他成熟的措施在文献中，如宏观不确定性（MU）的Jurado，Ludvigson和Ng。我们表明，我们的真实的房地产不确定性（REU）措施占两倍的变化，在住房价格和开始相比，MU。此外，向量自回归和格兰杰因果关系分析表明，我们的不确定性措施影响住房开工和价格相比，其他不确定性措施，只影响住房开工。
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.