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

Zhu, Bing ; Füss, Roland ; Rottke, Nico


Zusammenfassung

This paper investigates spatial linkages in returns, idiosyncratic risks, and volatilities across nineteen 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 ...

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