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<p>This study investigates the impacts of localized uncertainties on the state-level housing markets in the US from 1990 to 2023. Using the quantile vector autoregression (QVAR), it discovers that adverse uncertainty shocks can enhance housing booms but exacerbate housing busts at state levels. In high-uncertainty scenarios, the results indicate differences in the extent of housing price return declines between forecasts up to March 2020 and those up to April 2023, with an unprecedented housing price drop in the 2007–2009 housing crisis. These findings offer supportive evidence of asymmetric influences of uncertainties on state-level housing price returns, underscoring the crucial roles of state-level economic policy uncertainties (EPUs) in driving housing markets under diverse uncertainty scenarios. The implications of this research extend to policy and provide valuable guidance for risk management.</p>

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Policy Fog and Price Falls: Dissecting Local EPU Shocks in U.S. Housing Market Quantiles

  • 期刊论文

  • 发表日期：

    2026年1月7日

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  • MeiChi Huang

摘要

This study investigates the impacts of localized uncertainties on the state-level housing markets in the US from 1990 to 2023. Using the quantile vector autoregression (QVAR), it discovers that adverse uncertainty shocks can enhance housing booms but exacerbate housing busts at state levels. In high-uncertainty scenarios, the results indicate differences in the extent of housing price return declines between forecasts up to March 2020 and those up to April 2023, with an unprecedented housing price drop in the 2007–2009 housing crisis. These findings offer supportive evidence of asymmetric influences of uncertainties on state-level housing price returns, underscoring the crucial roles of state-level economic policy uncertainties (EPUs) in driving housing markets under diverse uncertainty scenarios. The implications of this research extend to policy and provide valuable guidance for risk management.