Paper: "Measuring Uncertainty in the Real Estate Sector"

Presenter: Dr Binh Thanh Nguyen (SBM, RMIT Vietnam)

       Jan. 12, 2018. 2pm - 4pm (Hanoi Time)

       Room A.317 - Campus A

       University of Economics HCMC - 59C Nguyen Dinh Chieu St., Ward 6, District 3, HCMC, Vietnam

Abstract: "This paper presents a new measure of uncertainty for the real estate sector. Using the framework of measuring Macro Uncertainty by Jurado, Ludvigson, and Ng (2015), we find that our measure of Real Estate Uncertainty captures additional aspects compared to theirs: first, the periods of high uncertainty are markedly different, especially for longer prediction horizons. Second, we find that the unconditional standard deviation of Real Estate Uncertainty is lower compared to Macro or Financial Uncertainty by Ludvigson, Ma, and Ng (2016) - which suggests that the Real Estate sector is not as frequently subject to (uncertainty) shocks. Our Real Estate Uncertainty measure is both Granger-causal and has a long-run impact on both housing starts and housing prices - in contrast to the other uncertainty measures that impact only housing starts"

Full slide: Paper