Abstract
In this study, we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1–2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to economic fluctuations in the United Kingdom. Second, spillovers show large variations over time. Third, in the wake of the global financial crisis, spillovers have reached unprecedented levels. Specifically, we find large spillovers of shocks from the housing market, stock market and economic policy uncertainty to inflation, economic growth and monetary policy stance. These results illustrate the contagion from the housing and financial crisis to the real economy and the policy reaction to stabilize the economy.
| Original language | English |
|---|---|
| Pages (from-to) | 111-122 |
| Number of pages | 12 |
| Journal | International Review of Financial Analysis |
| Volume | 44 |
| Early online date | 2 Feb 2016 |
| DOIs | |
| Publication status | Published - Mar 2016 |
Keywords
- WNU
- Housing market
- Stock market
- Economic policy uncertainty
- Spillover
- Vector autoregression
- Impulse response
Access to Document
- ANTONAKAKIS_2016_cright_IRFA_Dynamic interdependencies among the housing market, stock
NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, online 02 February 2016, DOI: 10.1016/j.irfa.2016.01.006, http://www.sciencedirect.com/science/article/pii/S1057521916000077