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dc.contributor.authorChristidou, Maria-
dc.contributor.authorFountas, Stilianos-
dc.date.accessioned2020-03-19T20:52:58Z-
dc.date.available2020-03-19T20:52:58Z-
dc.date.issued2018-04-
dc.identifier10.1515/snde-2016-0064en_US
dc.identifier.urihttps://doi.org/10.1515/snde-2016-0064en_US
dc.identifier.urihttps://ruomo.lib.uom.gr/handle/7000/640-
dc.description.abstractHousing is distinct from other financial assets, since it is a durable consumer good for households. Due to the irreversible nature of housing investment, uncertainty should be an important determinant of housing investment. From a theoretical point of view, though, this impact is ambiguous. This paper extends previous empirical work by employing the techniques of bivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in a group of forty-eight US states. In particular, we use data on housing permits as a proxy for housing investment and the house price index for the forty-eight contiguous US states and estimate bivariate GARCH models (BEKK) for each state, in order to obtain proxies of housing investment and house price uncertainty. Moreover, we use the Economic Policy Uncertainty index as an alternative measure of uncertainty. This setup allows us to test for the impact of uncertainty on housing investment growth and house price inflation and examine whether the effects differ across the different states. In general, we find that in most states uncertainty tends to increase housing investment growth and to decrease house price inflation. The cross-state differences in results may be due to variation in the degree of speculation in housing markets.en_US
dc.language.isoenen_US
dc.sourceStudies in Nonlinear Dynamics & Econometricsen_US
dc.subjectFRASCATI::Social sciences::Economics and Businessen_US
dc.subjectFRASCATI::Social sciences::Economics and Business::Econometricsen_US
dc.subject.otherGARCHen_US
dc.subject.otherhouse pricesen_US
dc.subject.otherhousingen_US
dc.subject.otherinvestmenten_US
dc.subject.otheruncertaintyen_US
dc.titleUncertainty in the housing market: evidence from US statesen_US
dc.typeArticleen_US
dc.contributor.departmentΤμήμα Οικονομικών Επιστημώνen_US
local.identifier.volume22en_US
local.identifier.issue2en_US
local.identifier.eissn1558-3708en_US
Εμφανίζεται στις Συλλογές: Τμήμα Οικονομικών Επιστημών

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