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 | |
| Publication status | Published - Mar 2020 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
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
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