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Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Nafeesa Yunus ()
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Nafeesa Yunus: The University of Baltimore

The Journal of Real Estate Finance and Economics, 2019, vol. 58, issue 2, 264-289

Abstract: Abstract This study explores the dynamic nature of linkages among seven key real estate sectors which include residential, health, lodging-resort, storage, office, retail and industrial. Long-run results reveal evidence of increased integration and contagion across the real estate sectors in the wake of the housing crisis. Short-run analyses suggest bi-directional causality and indicate that shocks to one real estate sector have a much more severe and persistent impact on other real estate sectors during the post-crisis period in comparison to the pre-crisis period. Finally, ripple effects are observed across the real estate sectors with shocks emanating from the ``dominant” residential sector and spilling over to other real estate sectors.

Keywords: Real estate sectors; Housing crisis; Ripple effects; Contagion; Portfolio; Diversification (search for similar items in EconPapers)
JEL-codes: C22 C58 G1 G11 F15 (search for similar items in EconPapers)
Date: 2019
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The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

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Handle: RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-017-9639-7