 How do housing markets comove with the financial system? Evidence from dynamic risk spilloversKun Duan, Shuwen Shan, Yingying Huang and Andrew Urquhart Research in International Business and Finance, 2025, vol. 77, issue PB Abstract: This paper builds a dynamic risk spillover network to study how housing markets evolve with the financial system by using a time-varying parameter VAR (TVP-VAR) model. We propose theoretical arguments, supported by empirical findings drawn based on a comprehensive international dataset, to show that housing markets in the US and China are respectively the largest and least information transmitters in the spillover dynamics. Moreover, the cross-market risk spillover features an asymmetric pattern that housing markets receive more information from the financial system, and spillover within housing markets is found to be stronger than that within the financial system. As for the spillover within the latter, the green asset and stock markets are shown to be the two largest sources of information transmission. Our results should be of interest to stakeholders and policy makers regarding the crucial role of the housing market in risk management toward financial stability. Keywords: Housing markets; Financial systems; Time-varying spillovers; Risk spillovers (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:77:y:2025:i:pb:s0275531925002430 DOI: 10.1016/j.ribaf.2025.102987 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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