Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

David Gabauer; Rangan Gupta

doi:10.1016/j.strueco.2019.09.009

Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

David Gabauer, Rangan Gupta

Department of Data Acquisition and Data Quality

Research output: Contribution to journal › Article › peer-review

Abstract

We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.

Original language	English
Pages (from-to)	167-173
Number of pages	7
Journal	Structural Change and Economic Dynamics
Volume	52
DOIs	https://doi.org/10.1016/j.strueco.2019.09.009
Publication status	Published - 2020

Fields of science

101007 Financial mathematics
101018 Statistics
101026 Time series analysis
102037 Visualisation
502025 Econometrics
502051 Economic statistics
509 Other Social Sciences

JKU Focus areas

Transformation in Finance and Financial Institutions

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1016/j.strueco.2019.09.009

Cite this

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title = "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach",

abstract = "We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.",

author = "David Gabauer and Rangan Gupta",

year = "2020",

doi = "10.1016/j.strueco.2019.09.009",

language = "English",

volume = "52",

pages = "167--173",

journal = "Structural Change and Economic Dynamics",

issn = "1873-6017",

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TY - JOUR

T1 - Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

AU - Gabauer, David

AU - Gupta, Rangan

PY - 2020

Y1 - 2020

N2 - We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.

AB - We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the propagation of uncertainties across the sectors, a time-varying parameter vector autoregression (TVP-VAR)-based connectedness procedure has been applied. In sum, we show that that since the 1970s, FU has been the main transmitter of shocks driving both, MU and REU, with MU dominating the REU. Our results support the need for better macroprudential policy decisions.

UR - https://www.sciencedirect.com/science/article/pii/S0954349X1930219X

U2 - 10.1016/j.strueco.2019.09.009

DO - 10.1016/j.strueco.2019.09.009

M3 - Article

SN - 1873-6017

VL - 52

SP - 167

EP - 173

JO - Structural Change and Economic Dynamics

JF - Structural Change and Economic Dynamics

ER -

Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach

Abstract

Fields of science

JKU Focus areas

UN SDGs

Access to Document

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