Zhu, Bing and Füss, Roland and Rottke, Nico (2011) Spatial Linkages in Returns and Volatilities among the U.S. Regional Housing Markets. Real Estate Economics.
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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 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 co-movement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.
|Institutions:|| Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)|
Business, Economics and Information Systems > IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)
|Subjects:||300 Social sciences > 330 Economics|
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||No|
|Deposited On:||19 Aug 2011 07:20|
|Last Modified:||29 Aug 2011 13:39|