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A New Measure of Real Estate Uncertainty Shocks

Nguyen Thanh, Binh ; Strobel, Johannes ; Lee, Gabriel



Abstract

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 ...

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