Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
Massimiliano Caporin (),
Rangan Gupta () and
Francesco Ravazzolo ()
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Massimiliano Caporin: University of Padova, Italy
Francesco Ravazzolo: Free University of Bolzano‐Bozen, Italy and BI Norwegian Business School
No BEMPS61, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen
We study contagion between REITs and the equity market in the U.S. over four subsamples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile regressions with heteroskedasticity. We find that the spillovers from the REITs on to the equity market has varied over time across the four sub-samples, though similarity is observed between the first and the last sub-samples. Further, barring the extreme ends of the two markets, contagion from REITs upon the stock market went down during the global financial crisis relative to the pre-crisis period, with the spillover picking-up during the European sovereign debt crisis.
Keywords: Contagion; Real Estate Market; Stock Market; Quantile-on-Quantile Model; Bayesian Estimation (search for similar items in EconPapers)
JEL-codes: C22 G10 R30 (search for similar items in EconPapers)
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Working Paper: Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bzn:wpaper:bemps61
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