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In this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries.

studies in nonlinear dynamics and econometrics

Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models