A New Measure of Real Estate Uncertainty Shocks
构建了一个专门针对房地产部门的不确定性度量指标，并与已有宏观不确定性指标对比，发现该指标对房价和开工量的解释力更强。
Abstract The objective of this article is twofold: first, we construct a new uncertainty measure that is specific to the real estate sector; second, we compare our uncertainty measure to other well‐established measures in the literature, such as the Macro Uncertainty (MU) by Jurado, Ludvigson and Ng. We show that our Real Estate Uncertainty (REU) measure accounts for twice as much of variation in housing prices—and starts compared to the MU. Furthermore, vector autoregressions and Granger‐causality analysis show that our uncertainty measure affects housing starts—and prices—in contrast to the other uncertainty measures that affect only housing starts.