A web of shocks: Crises across Asian real estate market

Shaun A. Bond, Mardi Dungey and Renee Fry-McKibbin

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: The behaviour of real estate markets during the 1997-98 financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal substantial diversification opportunities prior to the crisis, which are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing some scope for diversification across asset classes during the crisis period.

Keywords: Latent factor; contagion; indirect estimation; real estate (search for similar items in EconPapers)
JEL-codes: C30 F36 G15 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2004-06
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Related works:
Journal Article: A Web Of Shocks: Crises Across Asian Real Estate Markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2004-02

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