Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis
Journal of Real Estate Finance and Economics (2019)
Posted: 17 May 2019
Date Written: April 18, 2019
This study explores the dynamic nature of linkages among seven key real estate sectors which include residential, health, lodging-resort, storage, office, retail and industrial. Long-run results reveal evidence of increased integration and contagion across the real estate sectors in the wake of the housing crisis. Short-run analyses suggest bi-directional causality and indicate the shocks to one real estate sector have a much more severe and persistent impact on other real estate sectors during the post-crisis period in comparison to the pre-crisis period. Finally, ripple effects are observed across the real estate sectors with shocks emanating from the "dominant" residential sector and spilling over to other real estate sectors.
Keywords: Real Estate Sectors; Housing Crisis; Ripple Effects; Contagion; Portfolio Diversification
JEL Classification: C22, C58, G1, G11, F15
Suggested Citation: Suggested Citation