This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of panel of 16 countries over the period 2004–2018. The study includes economic growth, short-term interest rate, and population as additional covariates. Empirical results show that a positive shock to EPU leads to a decrease in housing prices with EPU showing only a weak response to housing price shocks. This implies that EPU has a robust predictive power for the housing market, implying the need for evaluating the associated risks. The panel Granger causality tests indicate strong and robust Granger causality from the EPU to housing prices, but not vice versa. The causal links also indicate that the effect of the EPU on RHP is direct rather than indirect through other variables. Based on these outcomes, policy recommendations are made for real estate agents, portfolio managers, and policy makers.

本研究旨在使用面板向量自回归 (PVAR) 方法和 2004 年至 2018 年期间 16 个国家的面板年度数据，检验实际房价 (RHP) 回报与经济政策不确定性 (EPU) 之间的动态关系. 该研究包括经济增长、短期利率和人口作为额外的协变量。实证结果表明，对 EPU 的正面冲击会导致房价下降，而 EPU 对房价冲击的反应较弱。这意味着 EPU 对住房市场具有强大的预测能力，这意味着需要评估相关风险。面板格兰杰因果检验表明从 EPU 到房价的格兰杰因果关系强大而稳健，但反之则不然. 因果关系还表明 EPU 对 RHP 的影响是直接的，而不是通过其他变量间接影响的。根据这些结果，为房地产经纪人、投资组合经理和政策制定者提出政策建议。