Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Abstract

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