We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.

Abstract
 1. Introduction
 2. Data and Methodology
  2.1. Data
  2.2. Methodology
 3. Empirical Findings
  3.1. Unit Root Test
  3.2. Cointegration Test
  3.3. Granger Causality Test
  3.4. VECM
  3.5. Impulse Responses
 4. Conclusions
  4.1. Summary of results
  4.2. Implications
  4.3. Limitations and future studies
 References

• Ji-Hong Jeon(Adjunct Professor, School of Business, Hanyang University)