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http://hdl.handle.net/2445/175728| Title: | Financial and Macroeconomic Uncertainties and Real Estate Markets |
| Author: | Gómez-González, José E. Hirs-Garzon, Jorge Sanin-Restrepo, Sebastian Uribe Gil, Jorge Mario |
| Keywords: | Incertesa Anàlisi vectorial Negocis immobiliaris Gestió de cartera Uncertainty Vector analysis Real estate business Portfolio management |
| Issue Date: | 2021 |
| Publisher: | Universitat de Barcelona. Facultat d'Economia i Empresa |
| Series/Report no: | [WP E-IR21/05] |
| Abstract: | We study the effect of macroeconomic and financial U.S. uncertainty shocks on international housing markets using a multi-country FAVAR model. This approach allows the identification of the effects of different sources of uncertainty on the global economy by imposing natural contemporaneous restrictions on the data generating process, which cannot be used within a single-country perspective. We find that financial uncertainty has an immediate negative effect on most REIT markets around the world lasting between one and three quarters. The effect of macroeconomic uncertainty is diverse.(...) |
| Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2021/202105.pdf |
| It is part of: | IREA – Working Papers, 2021, IR21/05 |
| URI: | http://hdl.handle.net/2445/175728 |
| Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| IR21_005_Gomez+Hirs+Sanin+Uribe.pdf | 12.96 MB | Adobe PDF | View/Open |
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