 Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisisBader M. Aljohani, Abubaker Fadul, Maram S. Asiri, Abdulrahman D. Alkhathami and Fakhrul Hasan Research in International Business and Finance, 2024, vol. 70, issue PB Abstract: This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices. Keywords: Inflation; Volatility; Global financial crisis; COVID-19, US; UK (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400206x DOI: 10.1016/j.ribaf.2024.102413 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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