Investigations into the safe-haven status of local housing assets in the Covid-19 crisis

<title>Abstract</title> <p>This study examines the impacts of uncertainties on state and Metropolitan Statistical Area (MSA)-level housing markets, emphasizing the roles of risk management during the Covid-19 period. The findings indicate substantial time-varying volatility in uncertainty shocks, with Economic Policy Uncertainty (EPU) peaking in 2020-22, showing that uncertainty during the Covid-19 pandemic was more pronounced than during the 2007-09 housing crisis. The transmission of uncertainty to housing markets is phase-dependent, with stronger responses during crisis phases compared to normal times. Top-tier houses in a few states can be considered safe-haven assets during and after the Covid-19 crisis, while mid- and bottom-tier houses in most states serve as safe-haven assets as the pandemic prevails and concludes. At the MSA level, only mid-tier houses are regarded as safe-haven assets, given their positive responses to uncertainty shocks during crisis phases. Notably, the safe-haven status of mid-tier houses in populous states and bottom-tier houses in major MSAs depends on the consideration of other types of shocks.</p>