Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach

Massimiliano Caporin, Rangan Gupta and Francesco Ravazzolo

No 201913, Working Papers from University of Pretoria, Department of Economics

Abstract: We study contagion between REITs and the equity market in the U.S. over four subsamples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile regressions with heteroskedasticity. We find that the spillovers from the REITs on to the equity market has varied over time across the four sub-samples, though similarity is observed between the first and the last sub-samples. Further, barring the extreme ends of the two markets, contagion from REITs upon the stock market went down during the global financial crisis relative to the pre-crisis period, with the spillover picking-up during the European sovereign debt crisis.

Keywords: Contagion; Real Estate Market; Stock Market; Quantile-on-Quantile Model; Bayesian Estimation (search for similar items in EconPapers)
JEL-codes: C22 G10 R30 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-02
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach (2021)
Working Paper: Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (2019)
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