Return and Volatility Transmission in U.S. Housing Markets

Posted: 31 Aug 2010 Last revised: 15 Sep 2011

See all articles by Hong Miao

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

Marc William Simpson

The John B. and Lillian E. Neff Department of Finance, University of Toledo

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Date Written: August 30, 2010

Abstract

This paper uses the Case-Shiller U.S. house price indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco, and Miami to be among the most influential markets. In terms of volatility linkages, there is considerable amount of transmission between New York, Boston and Washington D.C. in the East, and innovations in the housing markets of Miami, Los Angeles and San Francisco play an influential role within their respective regions. In comparison, markets in the Central and Mountain regions appear to be relatively independent from external influences. Overall, the linkages appear to more intensive during the active phase of the real estate market (1999-2006) than during the calm phase (1989-1998).

Keywords: return tranmsission, volatility transmission, Case-Shiller, residential markets, spatial dependencies

Suggested Citation

Miao, Hong and Ramchander, Sanjay and Simpson, Marc W., Return and Volatility Transmission in U.S. Housing Markets (August 30, 2010). Real Estate Economics, Forthcoming , Available at SSRN: https://ssrn.com/abstract=1668907

Hong Miao (Contact Author)

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
970-491-6681 (Phone)

Marc W. Simpson

The John B. and Lillian E. Neff Department of Finance, University of Toledo ( email )

Toledo, OH 43606
United States

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