Economics at your fingertips  

Volatility Spillover and International Contagion of Housing Bubbles

Jean-Louis Bago (), Koffi Akakpo, Imad Rherrad and Ernest Ouédraogo
Additional contact information
Koffi Akakpo: Department of Finance, Insurance and Real Estate, Laval University, Québec, QC G1V 0A6, Canada
Imad Rherrad: Department of Finance, Government of Quebec, Québec, QC G1R 5L3, Canada
Ernest Ouédraogo: Department of Economics and Management, University Thomas Sankara, Ouagadougou 12 BP 417, Burkina Faso

JRFM, 2021, vol. 14, issue 7, 1-14

Abstract: This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.

Keywords: bubble; contagion; real estate; Japan; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
Working Paper: Volatility Spillover and International Contagion of Housing Bubbles (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().

Page updated 2023-05-18
Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531