Mapping the Greek housing market uncertainty

The housing market plays a central role in economic stability and social well-being across countries, but specifically in Greece, it has been shaped by crises, policy shifts, and external shocks over the last decades. We introduce the Greek Housing Market Uncertainty (HMU) index, a monthly newspaper-based measure designed to capture housing-specific uncertainty. Using Local Projections and their state-dependent and time-varying extensions, we examine the dynamic effects of HMU shocks on key housing market variables. The results show that house prices respond negatively to housing uncertainty shocks, albeit with a lag, while residential loan growth also declines significantly in the short run. The state-dependent analysis demonstrates that regimes matter, as adverse effects on house prices are stronger during periods of low economic growth or high foreign uncertainty. Time-varying estimations indicate heightened long-run effects during the Greek debt crisis. Regional analysis shows more severe and persistent declines in large cities compared to smaller cities, while newer dwellings are also more vulnerable to shocks. Overall, the HMU index provides a valuable tool for monitoring housing market risks, while the incorporation of state-dependent and time-varying analysis reveals the crucial role of economic regimes and evolving conditions in shaping the impact of housing uncertainty.