The Two-Way Impact Between Economic Policy Uncertainty and Housing Prices in China: Sub-Sample Time-Varying Causality Analysis

This study investigates the time-varying causal relationship between China’s economic policy uncertainty (EPU) and housing prices (HP) at the macroeconomic level. Using sub-sample rolling-window techniques on monthly nationwide data spanning January 2000 to January 2025, we systematically analyze the dynamic interactions and structural shifts between these variables. It finds that EPU has both positive and negative impacts on HP, which are consistent with the general equilibrium model (GEM). Additionally, the study identifies a feedback effect of HP on EPU. The findings offer objective evidence and recommendations for the Chinese government to pay close attention to the intricate dynamic interactions between EPU and HP. Furthermore, the study provides insights into real estate market reactions in a developing country, which can be valuable for other market participants.