House Price Shocks, Stock Returns, and Policy Uncertainty: An Empirical Analysis Based on SVAR Models

摘要

This paper investigates the dynamic relationship among house price shocks, stock returns, and economic policy uncertainty (EPU) using a Structural VAR framework for a data sample of China over the period 1997-2016. The conclusions drawn are as follows. (1) An increase in EPU decreases house prices. A rise in house prices decreases EPU, while a rise in house supply increases EPU. (2) An increase in EPU decreases stock prices in the short term, while a rise in stock prices decreases EPU. (3) The interaction between stock prices and house prices is statistically insignificant. On the basis of the findings, relevant suggestions are put forward.