Original scientific paper
https://doi.org/10.18045/zbefri.2016.1.43
Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window
David Su
; Department of Finance, Ocean University of China, Shandong, China
Xin Li
; Department of Finance, Ocean University of China, Shandong, China
Oana-Ramona Lobonţ
; Department of Finance, West University of Timisoara, Timisoara, Romania
Yanping Zhao
; Department of International Trade, Ocean University of China,Shandong, China
Abstract
The purpose of this investigation is to research the causal link between economic
policy uncertainty (EPU) and the housing returns (HR) in Germany. In the estimated
vector autoregressive models, we test its stability and find the short-run relationship
between HR and EPU is unstable. As a result, a time-varying approach (bootstrap
rolling window causality test) is utilized to revisit the dynamic causal link, and we find
EPU has no impact on HR due to the stability of the real estate market in Germany.
HR does not have significant effects on EPU in most time periods. However, significant
feedback in several sub-periods (both positive and negative) are found from HR to
EPU, which indicates the causal link from HR to EPU varies over time. The empirical
results do not support the general equilibrium model of government policy choices
that indicate EPU does not play a role in the real estate market. The basic conclusion
is that the real estate market shows its stability due to the social welfare nature and
the rational institutional arrangement of the real estate in Germany, and the real
estate market also shows its importance that it has significant effect on the economic
policy choice in some periods when negative external shocks occur.
Keywords
Housing returns; Economic Policy Uncertainty; time-varying causality
Hrčak ID:
160727
URI
Publication date:
27.6.2016.
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