US housing prices and the transmission mechanism of connectedness

Sahana Roy Chowdhury, Kirti Gupta and Panayiotis Tzeremes

Finance Research Letters, 2023, vol. 58, issue PD

Abstract: This research examines the connectedness effects of US house prices across different metropolitan areas, utilizing a quantile connectedness model. We identify MSAs that could play a significant role in the transmission of house prices, either as net contributors or recipients of these effects. The level of quantiles emerges as another crucial factor, influencing the behavior of various metropolitan areas across different house price ranges. Denver, Los Angeles, Seattle, Phoenix, San Diego, and San Francisco exhibit net-contributing behavior, whereas Chicago, Detroit, Las Vegas, Minneapolis, New York, and Atlanta show a net-receiving trend. Metropolitan areas like Portland, Boston, Charlotte, Cleveland, Dallas, Miami, Tampa, and Washington display roles that can either be contributing or receiving over the time period. Lastly, external factors such as economic crises or health events like the Covid-19 outbreak play a pivotal role in shaping MSAs' behavior.

Keywords: House price indices; Metropolitan statistical areas; Quantile vector Auto rergression; Global financial crisis; Covid-19 (search for similar items in EconPapers)
JEL-codes: C51 E31 R31 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010085

DOI: 10.1016/j.frl.2023.104636

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