Beschreibung:
<jats:title>Abstract</jats:title>
<jats:p>The property market plays an important role in the economic system, and it would be greatly affected by the change of economic policies. Understanding the impact of economic policy uncertainty (EPU) is helpful for the investment and management. The EPU of an economy is not only acting on its own property market; the transmission of EPU between different economies, or called as the spillover of EPU, also makes influence on other property markets. However, the impact from the spillover of EPU is not considered previously due to the lack of methods and thus still remains unclear. Therefore, in this work, we combine a generalized VAR model and a DSP-GARCH model to simultaneously take the EPU and its spillover into account. The data of property indices and EPU indices for eight economies are used. Empirical analysis shows that the increased change of EPU has significant negative effect on the property market, and the effect from the spillover of EPU also significantly exist between property markets. The property market with large spillover of EPU yields strong volatility spillover effect.</jats:p>