International House Price Linkages: Time-Varying Estimates and Contagion for the G-7

William Miles

Journal of Housing Research, 2017, vol. 26, issue 2, 195-222

Abstract: Co-movement between house prices across different countries has important implications for global investors. I employ a new data set on international house prices to examine home value co-movements in G-7 nations. I find linkages that vary through time. In some periods, the correlations are negative, while at other times, these co-movements reach all-time highs. This pattern is consistent with previous research on contagion for other financial assets. Further investigation reveals, however, that contrary to some previous findings, there has not been a secular increase in house price co-movement over the last four decades.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2017.12092135 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:rjrhxx:v:26:y:2017:i:2:p:195-222

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjrh20

DOI: 10.1080/10835547.2017.12092135

Access Statistics for this article

Journal of Housing Research is currently edited by Kimberly Goodwin

More articles in Journal of Housing Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().