Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets
Journal
Real Estate Economics
ISSN
1080-8620
ISSN-Digital
1540-6229
Type
journal article
Date Issued
2013-04
Author(s)
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley Blackwell
Publisher place
Oxford UK
Volume
41
Number
1
Start page
29
End page
64
Pages
36
Subject(s)
Eprints ID
216325