EconPapers    
Economics at your fingertips  
 

Volatility Spillover and International Contagion of Housing Bubbles

Jean-Louis Bago (), Koffi Akakpo, Imad Rherrad () and Ernest Ouédraogo

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provides new empirical evidence on housing bubbles timing, volatility spillover and bubbles contagion between Japan and its economics partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test developed by Phillips et al. (2015) to quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model developed by Engle (2002). Third, we assess bubbles contagion using the non-parametric model with time-varying coefficients developed by Greenaway-McGrevy and Phillips (2016). We document two historical bubble episodes from 1970 to 2018 in the Japan’s housing market. Moreover, we find evidence of volatility spillover and bubbles contagion between Japan’s real estate market and its most important economic partners during several periods.

Keywords: Bubble; Contagion; Real estate; Japan; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C14 G12 (search for similar items in EconPapers)
Date: 2020-05
New Economics Papers: this item is included in nep-ets, nep-his and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/100098/1/MPRA_paper_100098.pdf original version (application/pdf)

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:pra:mprapa:100098

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2021-03-28
Handle: RePEc:pra:mprapa:100098