Investigating the Effects of Climate Policy Uncertainty on the Volatility of the U.S. Real Estate Markets

Year 2023, Volume: 12 Issue: 3, 1255 - 1270, 30.09.2023

Mustafa Hamad Ameen , Aslı Afşar

https://doi.org/10.15869/itobiad.1258345

Abstract

As climate change worsens, dangerous weather events are becoming more frequent or serve: Even the world's wealthiest nations could not put out large-scale fires, which are raging in the world. The rise of sea levels, the deadly floods, the imbalances between the temperatures, and the uncertainty in climate policy has raised many eyebrows in the last few years. Although climate change influences many sectors including real estate markets, information regarding the impacts of climate policy uncertainty on these markets remains poor. In order to analyze the impacts of climate change uncertainty on the real estate markets in the USA. We use the Climate Policy Uncertainty (CPU) index and the Volatility of the Real Estate Markets (REMV) index based on monthly data which starts in January-2000 and ends in March-2021. This study utilized the VAR model to analyze the collected data. Surprisingly, the results of the Granger causality test show no G-causality between the CPU index and the REMV index. This means that there is no statistically significant causal relationship between these two variables in the dataset used. Further, according to the results of the Impulse response test, the variables react to the shocks which come to themself positively and provide a meaningless result to the reactions between the variables. In other words, the shocks or disturbances within the variables do not lead to predictable or significant effects on the other variable. Lastly, the Variance decomposition test results show that the variables lagged by 99% of their dynamics and lagged by 1% of the other variables' dynamics. Generally, no negative connection can be observed between the two variables in the dataset used.

Keywords

CPU index, PEMV index, VAR model, U.S. Real estate Markets, Climate Policy Uncertainty

Supporting Institution

Non

Project Number

Non

Thanks

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İklim Politikası Belirsizliğinin ABD Gayrimenkul Piyasalarının Oynaklığı Üzerindeki Etkilerinin İncelenmesi

Abstract

İklim değişikliği kötüleştikçe, tehlikeli hava olayları daha sık veya şiddetli hale geliyor Dünyanın en zengin ülkeleri bile dünyayı kasıp kavuran büyük çaplı yangınları söndüremedi. Deniz seviyelerinin yükselmesi, ölümcül seller, sıcaklıklar arasındaki dengesizlikler ve iklim politikasındaki belirsizlik, son yıllarda pek çok kişinin dikkatini çekmektedir. İklim değişikliği, gayrimenkul da dahil olmak üzere birçok sektörü etkilese de iklim politikası belirsizliğinin bu piyasalar üzerindeki etkilerine ilişkin bilgiler yetersiz kalmaya devam etmektedir. Bu çalışmada, iklim değişikliği belirsizliğinin ABD'deki gayrimenkul piyasaları üzerindeki etkilerini analiz etmek için Ocak 2000’de başlayan ve Mart 2021’de sona eren aylık verilere dayanan İklim Politikası Belirsizlik (CPU) Endeksi ve gayrimenkul piyasalarının oynaklığı (REMV) endeksi kullanılmıştır. Toplanan verileri analiz etmek için VAR modeli kullanılmıştır. Şaşırtıcı bir şekilde, Granger nedensellik testinin sonuçları, CPU indeksi ile REMV endeksi arasında Granger nedenselik olmadığını göstermektedir. Bu da kullanılan veri setinde bu iki değişken arasında istatistiksel olarak anlamlı bir nedensellik ilişkisi olmadığı anlamına gelir. Ayrıca, etki (dürtü)-tepki analizi sonuçlarına göre değişkenler kendilerine gelen şoklara olumlu tepki vermekte ve değişkenler arasındaki tepkilere anlamsız bir sonuç vermektedir. Diğer bir deyişle, değişkenlerdeki şoklar veya bozulmalar diğer değişken üzerinde öngörülebilir veya anlamlı etkilere yol açmaz. Son olarak, varyans ayrıştırma testi sonuçları, değişkenlerin dinamiklerinin %99'u kadar, diğer değişkenlerin dinamiklerinin ise %1'i kadar geciktiğini göstermektedir. Kullanılan veri setinde genellikle iki değişken arasında negatif bir bağlantı gözlemlenmemektedir.

Project Number

Non

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