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On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

Damian S. Damianov and Ahmed H. Elsayed

Finance Research Letters, 2018, vol. 27, issue C, 193-200

Abstract: Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (REITs) markets, and the stock market. Each of the four markets acts as both receiver and transmitter of spillovers during specific subperiods. While in economic downturns the housing market is generally a transmitter of spillovers, we find that during the recent mortgage crisis the housing market was a receiver of spillovers predominantly from the mortgage REITs market but also, to a lesser degree, from the equity REITs market. In periods of high political uncertainty and in periods of easy credit, the equity REITs and the stock market transmit spillovers to the housing and the mortgage REITs market.

Keywords: Housing market; Mortgage and equity REITs market; Stock market; Return spillovers (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2018
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