Unveiling the multiscale impact of economic policy uncertainty on China's housing market spillovers: Evidence from different uncertainty measurements

Abstract

This paper investigates the multiscale impacts of economic policy uncertainty (EPU) on China's housing market spillovers. In addition to the news-based EPU commonly used in previous literature, we also construct an unobservable EPU for China in a data-rich environment based on forecast errors and distinguish the heterogeneous impacts imposed by different EPU measurements. Results indicate that spillovers of China's housing market are primarily driven by economically developed cities, and the unobservable EPU has greater explanatory power for total spillovers. However, in the long-term time horizons, smaller cities’ net spillovers exhibit greater sensitivity to the news-based EPU, while larger cities are more reliant on the unobservable EPU.