Cross-Country Evidence on the Causal Relationship between Policy Uncertainty and Housing Prices

Ghassen El-Montasser, Ahdi N. Ajmi, Tsangyao Chang, Beatrice D. Simo-Kengne, Christophe André, Rangan Gupta

Research output: Contribution to journalArticlepeer-review

35 Citations (Scopus)


In this paper, we examine the causal linkages between policy uncertainty and housing prices in a panel of seven advanced countries including Canada, France, Germany, Italy, Spain, the United Kingdom, and the United States. We implement a bootstrap panel causality test on quarterly data from 2001:Q1 to 2013:Q1, which allows us to circumvent the data limitation as observations are pooled across countries. The results provide evidence of a bi-directional causality between real housing prices and policy uncertainty, suggesting that high uncertainty related to future economic fundamentals and policies increases housing price volatility, which in turn may amplify financial and business cycles. The results also show bi-directional causality for France and Spain, but only unidirectional causality for the remaining countries. Specifically, unidirectional causality runs from policy uncertainty to real housing prices in Canada, Germany and Italy and from real housing prices to policy uncertainty in the U.K. and the U.S.

Original languageEnglish
Pages (from-to)195-211
Number of pages17
JournalJournal of Housing Research
Issue number2
Publication statusPublished - 2016
Externally publishedYes

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)
  • Urban Studies


Dive into the research topics of 'Cross-Country Evidence on the Causal Relationship between Policy Uncertainty and Housing Prices'. Together they form a unique fingerprint.

Cite this