Abstract

http://ssrn.com/abstract=1882284
 
 

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U.S. Regional Housing Bubbles, Their Co-Movements and Spillovers


Roland Füss


University of St. Gallen

Bing Zhu


EBS Universität für Wirtschaft und Recht - EBS Business School

Joachim Zietz


Middle Tennessee State University - Jennings A. Jones College of Business; European Business School (EBS)

July 9, 2011


Abstract:     
This paper provides empirical evidence for co-movement and spillover effects of regional housing bubbles and their diffusion channels. In our two-stage identification strategy, we first decompose the observed housing price into a fundamental and a bubble component. We then analyze the interdependence among these regional bubble series using spatial econometric methods. The empirical results indicate that a regional bubble first affects the adjacent regions via geographical proximity. Spillover effects reinforce the influence on adjacent regions. Similar economic and mortgage market conditions help spread the bubble across regions. We conclude that a regional housing bubble is of more than regional interest because it may infect numerous other regions and also cause nationwide problems through wealth and multiplier effects.

Number of Pages in PDF File: 39

Keywords: Housing price bubble, co-movement, spillover effects, state-space modeling, dynamic space-time model

JEL Classification: C21, C23, R15

working papers series


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Date posted: July 10, 2011  

Suggested Citation

Füss, Roland and Zhu, Bing and Zietz, Joachim, U.S. Regional Housing Bubbles, Their Co-Movements and Spillovers (July 9, 2011). Available at SSRN: http://ssrn.com/abstract=1882284 or http://dx.doi.org/10.2139/ssrn.1882284

Contact Information

Roland Füss (Contact Author)
University of St. Gallen ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
+41 (0)71 224 70 74 (Phone)
+41 (0)71 224 70 88 (Fax)
HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx
Bing Zhu
EBS Universität für Wirtschaft und Recht - EBS Business School ( email )
Gustav-Stresemann-Ring 3
65189 Wiesbaden
Germany
Joachim Zietz
Middle Tennessee State University - Jennings A. Jones College of Business ( email )
Department of Economics & Finance
PO Box 129
Murfreesboro, TN 37132
United States
615-898-5596 (Fax)
European Business School (EBS) ( email )
Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany
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