A new ICEEMDAN-based transfer entropy quantifying information flow between real estate and policy uncertainty

Document Type

Article

Source of Publication

Research in Economics

Publication Date

1-1-2022

Abstract

We quantify the dependence between real estate indices and global economic policy uncertainty for 12 top-advanced countries. Generally, real estate investments are found to be highly risky to information flow from global economic policy uncertainty. amidst policy uncertainty, we find diversification, safe haven, and hedging prospects – based on the market conditions – at short term frequencies only, for the pairs between (a) Japan and the US; (b) Singapore and the US; (c) China and Canada; (d) China and Hong Kong. Our findings underscore market efficiency (inefficiency) at mid-and long-term (short-term) frequencies. In the presence of policy uncertainty, our findings underscore the operability of ingrained market dynamics between real estate investments in the mid-and long-term horizons. It is prudent for investors to combine real estate investments with other asset classes that are less risky to (or are positive recipients of) information flow from global EPU to hedge against adverse market shocks from any asset in the portfolio based on market conditions. Practically, not only should legislations be flexible to the changing market trends in the short term, but they should also be strategically crafted to retain the fundamental market dynamics between real estate investments in the mid-and long-term economic horizons.

ISSN

1090-9443

Publisher

Elsevier BV

Disciplines

Business

Keywords

Diversification, Economic policy uncertainty, Real estate investment, Situated information flow, Transfer entropy

Scopus ID

85134777723

Indexed in Scopus

yes

Open Access

no

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