Return and Volatility Transmission in U.S. Housing Markets
Posted: 31 Aug 2010 Last revised: 15 Sep 2011
Date Written: August 30, 2010
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: Suggested Citation