Measuring real estate policy uncertainty in China

Referring to the newspaper textual analysis method by Baker et al. (2016), this study constructs a monthly Chinese Real Estate Policy Uncertainty (REPU) index from 2001 to 2018. The index increases significantly near the promulgation of major policies. We also conduct evaluation of the index with the vector autoregression (VAR) model, which reveals that the rise of REPU indicates the decline in the growth rate of commodity housing development investment, sales area, and real estate industry added value. The REPU index is helpful to expand the understanding of policy uncertainty, and the accurate measurement of REPU is the basis for further research of its impact on China's real estate market.

Automated summary

This study constructs a Chinese Real Estate Policy Uncertainty (REPU) index and evaluates it using the VAR model. The results show that the increase in REPU is associated with a decline in commodity housing development investment, sales area, and real estate industry added value. This research is significant for expanding the understanding of policy uncertainty and further studying its impact on China's real estate market.