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This paper examines dynamic interactionsbetween economic policy uncertainty and the housing market returns for Japan using quarterly data running from 1990Q1through 2012Q4. Specifically, the study adopts the BEKKGARCH model to test for causality-in-mean and i-variance between economic policy uncertainty and housing market returns. The sample period is divided into two namely pre-crisis (1990Q1 through 1999Q4) and postcrisis period (2001Q1 through 2012Q4) in order to assess the impact of the Asian financial crisis. The results provide evidence of causality-in-mean from economic policy uncertainty to housing returns for pre-crisis period. Similarly, the show evidence of causality-in-mean from housing returns to economic policy uncertainty for postcrisis period. The results further reveal evidence of bi-directional causality-in-variance between economic policy uncertainty and housing market for the full sample period and the pre-crisis period. However, there is evidence of causality-in-variance from housing market returns to economic policy uncertainty for the post-crisis period. The empirical findings of this study suggest that investors should take into consideration economic policy uncertaintieswhen forming their investment portfolios.

Dynamic Relationship between Economic Policy Uncertainty and Housing Market Returnsin Japan