Speculative Bubble Spillovers Across Regional Housing Markets

35 Pages Posted: 27 Jan 2012 Last revised: 13 Jul 2014

See all articles by Ogonna Nneji

Ogonna Nneji

University of Reading - ICMA Centre

Chris Brooks

University of Reading - ICMA Centre

Charles W.R. Ward

University of Reading

Date Written: September 1, 2012

Abstract

In this paper we determine whether speculative bubbles in one region in the US can lead bubbles to form in others. We first apply a regime-switching model to determine whether speculative bubbles existed in the US regional residential real estate markets. Our findings suggest that the housing markets in five of the nine census divisions investigated were characterized by speculative bubbles. We then examine the extent to which bubbles spill over between neighbouring and more distant regions, finding that the transmission of speculative bubbles and non-fundamentals between regions is multi-directional and does not depend on contiguity or distance.

Keywords: speculative bubbles, real estate, regime-switching, regional spillovers

JEL Classification: G12, R21, R23

Suggested Citation

Nneji, Ogonna and Brooks, Chris and Ward, Charles W.R., Speculative Bubble Spillovers Across Regional Housing Markets (September 1, 2012). Available at SSRN: https://ssrn.com/abstract=1992587 or http://dx.doi.org/10.2139/ssrn.1992587

Ogonna Nneji

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Chris Brooks (Contact Author)

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
+44 118 931 82 39 (Phone)
+44 118 931 47 41 (Fax)

Charles W.R. Ward

University of Reading ( email )

ICMA Centre,
Henley Business School
Reading, RG6 6AB
United Kingdom
T: +44 (0)118 378 8239 (Phone)

HOME PAGE: http://www.icmacentre.ac.uk/about_us/academic_staff/professor_charles_ward,

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