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Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets

Bing Zhu, Roland Füss & Nico Rottke

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abstract This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 4-2013
journal Real Estate Economics
publisher Wiley Blackwell (Oxford UK)
ISSN 1080-8620
ISSN (online) 1540-6229
DOI 10.1111/j.1540-6229.2012.00337.x
volume of journal 41
number of issue 1
page(s) 29-64
review double-blind review
   
citation Zhu, B., Füss, R., & Rottke, N. (2013). Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets. Real Estate Economics, 41(1), 29-64, DOI:10.1111/j.1540-6229.2012.00337.x.