The effects of uncertainty shocks on global housing markets
International Journal of Housing Markets and Analysis
ISSN: 1753-8270
Article publication date: 12 June 2020
Issue publication date: 9 February 2021
Abstract
Purpose
This paper aims to investigate how different uncertainty shocks affect international housing prices.
Design/methodology/approach
The authors set up a model of housing price instability with four uncertainty variables and apply the panel generalized method of moments method and quantile regression to estimate the linear and non-linear linkages among the variables based on data of 56 countries from 2001Q1 to 2018Q2.
Findings
Some empirical findings are as follows. Higher macroeconomic uncertainty and global economic policy risk increase housing price instability, whereas greater financial uncertainty and geopolitical risk present reverse effect. Four uncertainty variables are good signals for housing price changes in Asia, and geopolitical risk takes leading role in Europe. Macroeconomic uncertainty positively impacts housing price instability only at a low or middle level in all regions, as financial uncertainty, global economic policy uncertainty and geopolitical risk effects in all regions are smaller at the middle or high level of housing price instability; this confirms the existence of non-linear correlation between each variable.
Originality/value
The findings help investors and policymakers gain a better notion of housing price instability and control into uncertainty signal that could cause housing price instability crash.
Keywords
Citation
Chien, M.-S. and Setyowati, N. (2021), "The effects of uncertainty shocks on global housing markets", International Journal of Housing Markets and Analysis, Vol. 14 No. 1, pp. 218-242. https://doi.org/10.1108/IJHMA-03-2020-0020
Publisher
:Emerald Publishing Limited
Copyright © 2020, Emerald Publishing Limited