A New Measure of Real Estate Uncertainty Shocks

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