High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests

Goodness Aye (), Christina Christou (), Rangan Gupta and Christis Hassapis ()
Additional contact information
Goodness Aye: Department of Economics, University of Pretoria, Pretoria, 0002, South Africa
Christina Christou: School of Economics and Management, Open University of Cyprus, 2252, Latsia, Cyprus
Christis Hassapis: School of Economics and Management, Department of Economics, University of Cyprus, P.O. Box 20537, CY-1678 Nicosia, Cyprus

No 202159, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examined contagion involving the aggregate and regional housing markets of the United States (US) with other asset markets using multichannel tests during the 2007-2008 global financial crisis based on a unique high-frequency, i.e., daily data set. To arrive at bias free results several contagion tests: the Forbes and Rigobon (FR) correlation test for contagion, the Fry, Martin and Tang coskewness (CS) test for contagion, the Hsiao cokurtosis (CK) test for contagion and the Hsiao covolatility (CV) test for contagion were employed. At the country level, the linear (correlation) channel indicates that contagion is present from (to) average housing returns to (from) the S&P500, with the correlation contagion also running from average housing returns to REITs. Moreover, the coskewness, cokurtosis and covolatility channels are strongly active with contagion running only from average housing returns to the S&P500, bond returns and REITs. At the Metropolitan Statistical Area (MSA) level, our results indicate that the linear (correlation) channel of contagion is relatively inactive, but the coskewness, cokurtosis and covolatility channels are strongly active with contagion running mostly from housing returns to the S&P500. Our results have important implications for investor and policymakers, given the possibility of differential results based on tests and whether we rely on regional or aggregate data.

Keywords: Contagion; real estate; multichannel tests; United States (search for similar items in EconPapers)
JEL-codes: C12 C58 E44 G01 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2021-08
New Economics Papers: this item is included in nep-isf, nep-mac and nep-ure
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Journal Article: High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202159

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