Time-varying connectedness of metropolitan housing markets

被引：2

作者：

Payne, James E. ^{[1
,2
]}

Sun, Xiaojin ^{[3
,4
]}

机构：

[1] Univ Texas El Paso, Coll Business Adm, El Paso, TX USA

[2] Univ Texas Paso, Hunt Inst Global Competitiveness, El Paso, TX USA

[3] Univ Texas Paso, Hunt Inst Global Competitiveness, El Paso, TX USA

[4] Univ Texas Paso, Dept Econ & Finance, 500 Univ Ave, El Paso, TX 79968 USA

来源：

REAL ESTATE ECONOMICS | 2023年 / 51卷 / 02期

关键词：

metropolitan housing markets; recession prediction; time-varying connectedness; LONG-RUN RELATIONSHIPS; DYNAMIC FACTOR MODELS; PRICE CONVERGENCE; TERM STRUCTURE; UK; US; DIFFUSION; SERIES; SPILLOVERS; SEGMENTATION;

D O I：

10.1111/1540-6229.12415

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct a time-varying measure of connectedness for 382 U.S. metropolitan housing markets using monthly house price data from 1975 to the present. Housing connectedness in the long run is found to be much stronger than the instantaneous connectedness, both of which exhibit notable variation over time and across metropolitan areas. Unlike stock market connectedness, housing market connectedness leads the business cycle; it helps predict the likelihood of future recessions.

引用

页码：470 / 502

页数：33

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