Housing market volatility connectedness among G7 countries

Hahn Lee () and Woo Suk Lee ()
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Woo Suk Lee: Department of Economics, Sogang University, Seoul

No 1605, Working Papers from Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

Abstract: This study investigates international linkages among housing markets in the G7 countries, using the connectedness methodology developed in Diebold and Yilmaz (2012). We find that volatility connectedness varies over the business cycle, with a surge during the global financial crisis. We also show that the United States and Italy were major net transmitters of housing market volatility shocks to other countries during the global financial and the European debt crises.

Keywords: G7; Housing markets; Volatility connectedness (search for similar items in EconPapers)
JEL-codes: C32 R21 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2016
New Economics Papers: this item is included in nep-eec
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Persistent link: https://EconPapers.repec.org/RePEc:sgo:wpaper:1605

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