Housing market volatility connectedness among G7 countries

Hahn Lee () and Woo Suk Lee

Applied Economics Letters, 2018, vol. 25, issue 3, 146-151

Abstract: This study investigates international linkages among housing markets in the G7 countries, using the connectedness methodology developed in Diebold and Yilmaz (2012, 2015). We find that volatility connectedness varies over the business cycle, with a surge during the global financial crisis. We also show that the United States and Italy were major net transmitters of housing market volatility shocks to other countries during the global financial crisis and the European debt crisis, respectively.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2017.1305069 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Housing market volatility connectedness among G7 countries (2016)
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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:3:p:146-151

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2017.1305069

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().