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Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models

Author

Listed:
  • Chow Sheung-Chi

    (Research Institute for Business, Hang Seng Management College, Sha Tin, Hong Kong)

  • Cunado Juncal

    (Facultad de Ciencias Economicas y Empresariales, Universidad de Navarra, Pamplona, Spain)

  • Gupta Rangan

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Wong Wing-Keung

    (Department of Finance, Asia University, Taichung, Taiwan)

Abstract
In this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries.

Suggested Citation

  • Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018. "Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
    • Handle: RePEc:bpj:sndecm:v:22:y:2018:i:2:p:15:n:2
    DOI: 10.1515/snde-2016-0121
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    More about this item

    Keywords

    economic policy uncertainty; Granger causality linear and nonlinear tests; housing market returns;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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