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

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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Abstract

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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Item Type:Article
Date:August 2011
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
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Owner: Epub Sebastian
Deposited On:19 Aug 2011 07:20
Last Modified:29 Aug 2011 13:39
Item ID:21816
Owner Only: item control page
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