Spillover effects of financial uncertainty on the housing market: A mixed-frequency time series analysis approach*

This study analyzes the influence of uncertainty on the housing market. Specifically, we measure the spillover effect using a mixed-frequency vector autoregression (MF-VAR) model, which allows for analysis even when time series data have different frequencies. We then compare these results with those obtained using the conventional VAR model. The main results are as follows: The results of impulse response function and variance decomposition analyses indicate that financial uncertainty shocks do have spillover effects on the housing market, with the effects varying heterogeneously with the timing of the shocks. The variance decomposition analysis also shows that uncertainty affects the housing market. Furthermore, the results of the connectedness approach show that the link between financial uncertainty and housing market intensifies during periods of economic crisis, such as the global financial crisis and COVID-19 crisis. Finally, a comparison of the results of the MF-VAR model with those of the conventional VAR model shows that the conventional VAR model tends to underestimate the spillover effects.