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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
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:
It is part of: IREA – Working Papers, 2021, IR21/05
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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