How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test

Abdulnasser Hatemi-J and Eduardo Roca

Economic Modelling, 2011, vol. 28, issue 6, 2560-2565

Abstract: This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out of the recent US real estate crisis or subprime crisis. Contrary to expectations, it is found that the relationship of the US market with the other markets following the US real estate market crisis cannot be characterized as one with contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails regardless whether the markets are under distress or not.

Keywords: Contagion; Case-resampling bootstrap; Dependency; Real estate (search for similar items in EconPapers)
JEL-codes: C22 F36 G15 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:6:p:2560-2565

DOI: 10.1016/j.econmod.2011.07.017

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