Title:
Using the Granger Causality Test to Examine Whether Economic Policy Uncertainty Has a Significant Impact on Social Housing Rents

Authors:
Jeng-Ying Shieh, Yu-Te Su, Taiwan

Abstract:

Granger causality can decompose the relationships among variables into multiple independent regression equations to examine the “correlation” between the current value of one variable and the past values of other variables. This study uses Granger causality tests to explore whether economic policy uncertainty has a significant impact on rents in the social housing market.

Issues such as excessively high housing prices, a high vacancy rate, and insufficient transparency in the rental market are currently occurring in Taiwan’s housing market. Since 2011, the R.O.C. (Taiwan) government has promoted a policy of renting and not selling social housing, and through related plans, it has assisted socio-economically disadvantaged households to rent housing.

This study is based on the real options valuation model, assuming that the value of privately owned social housing follows a geometric Brownian motion. It proposes a related valuation model, conducts sensitivity analysis, and further employs the Granger causality test to examine whether economic policy uncertainty has a significant impact on rents in the social housing market.

This study also proposes investment strategy recommendations for social housing, along with corresponding methods for assessing trends in average price volatility 

DOI: https://doi.org/10.51505/IJEBMR.2026.10501