Variations and Influences of Connectedness among US Housing Markets
I-Chun Tsai () and
Che-Chun Lin ()
Additional contact information
I-Chun Tsai: National University of Kaohsiung
Che-Chun Lin: National Tsing Hua University
International Real Estate Review, 2019, vol. 22, issue 1, 27-58
This paper uses the house price indices of 20 metropolitan statistical areas (MSAs) across the United States from January 1991 to April 2018 to analyze the dynamic connectedness of the housing markets in these MSAs. By estimating the connectedness of the entire sample before, during, and after the subprime mortgage crisis, this paper compares the changes in the impact of each regional housing market in the abovementioned MSAs during the stated time period. The results show that housing markets in west coast MSAs are the most influential, and the spatial distribution of this influence is affected by the subprime mortgage crisis because, compared to other periods, the fewest MSAs have a positive net impact during the crisis period and are found along the coast. The influence of the west coast cities increases after the subprime mortgage crisis compared to that before the crisis, probably because the house prices in these cities recover more quickly. In addition, an increase in connectedness represents more systematic risks and also influences the connectedness of the housing markets with other financial markets. The results of this paper also indicate that if the Federal Reserve uses monetary policies to interfere with the housing market, this might increase the default risks of the entire housing market across the United States, and a financial crisis from the spread of default risks might ensue. By discussing the linkage of the regional housing markets across the United States, we provide another warning indicator for the risks of housing markets, risks linked to other financial markets, and uncertainty risks for the overall economy.
Keywords: US Housing Markets; Connectedness; Default Risk; Subprime Mortgage Crisis; Housing Market Risk (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.um.edu.mo/fba/irer/papers/current/vol22n1_pdf/02.pdf Full text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:22:n:01:2019:p:27-58
Ordering information: This journal article can be ordered from
Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Access Statistics for this article
International Real Estate Review is currently edited by Professor Ko Wang, Professor Hongyu Liu and Professor Rose Neng Lai
More articles in International Real Estate Review from Asian Real Estate Society Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA.
Bibliographic data for series maintained by IRER Secretary Office/Webmaster ().