517
Views
19
CrossRef citations to date
0
Altmetric
Article

Housing market volatility connectedness among G7 countries

&

References

  • Apostolakis, G., and A. P. Papadopoulos. 2015. “Financial Stress Spillovers across the Banking, Securities and Foreign Exchange Markets.” Journal of Financial Stability 19: 1–21. doi:10.1016/j.jfs.2015.05.003.
  • Cera-Bianchi, A. 2013. “Housing Cycles and Macroeconomic Fluctuations: A Global Perspective.” Journal of International Money and Finance 37: 215–238. doi:10.1016/j.jimonfin.2013.06.004.
  • Chevallier, J., and F. Lelpo. 2013. “Volatility Spillovers in Commodity Markets.” Applied Economics Letters 20: 1211–1227. doi:10.1080/13504851.2013.799748.
  • Diebold, F. X., and K. Yilmaz. 2012. “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 23: 57–66. doi:10.1016/j.ijforecast.2011.02.006.
  • Diebold, F. X., and K. Yilmaz. 2015. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. New York, NY: Oxford university press.
  • Kim, K.-H., and Y.-J. Park. 2016. “International Co-Movement of Housing Price Cycles in East Asia and Greater China.” Asian Economic Papers 15: 78–98. doi:10.1162/ASEP_a_00406.
  • Kim, K. H., and B. Renaud. 2009. “The Global House Price Boom and Its Unwinding: An Analysis and a Commentary.” Housing Studies 24: 7–24. doi:10.1080/02673030802550128.
  • Klobner, S., and R. Sekkel. 2014. “International Spillovers of Policy Uncertainty.” Economics Letters 124: 508–512. doi:10.1016/j.econlet.2014.07.015.
  • Koop, G., M. H. Pesaran, and S. M. Potter. 1996. “Impulse Response Analysis in Nonlinear Multivariate Models.” Journal of Econometrics 74: 119–147. doi:10.1016/0304-4076(95)01753-4.
  • Leamer, E. E. 2015. “Housing Really Is the Business Cycle: What Survives the Lessons of 2008–09?” Journal of Money, Credit and Banking 47: 43–50. doi:10.1111/jmcb.12189.
  • Lee, H. S., and W. S. Lee (2016) Cross-Regional Connectedness in Korean Housing Market, Paper presented at 2016 Asia Pacific Real Estate Research Symposium (August, 2016).
  • Liow, K. H. 2013. “Volatility Interdependence in European Real Estate Securities Markets: Who Is the Most Influential?” Journal of European Real Estate Research 6: 117–138. doi:10.1108/JERER-10-2012-0026.
  • Liow, K. H. 2015. “Volatility Spillover Dynamics and Relationship across G7 Financial Markets.” North American Journal of Economics and Finance 33: 328–365. doi:10.1016/j.najef.2015.06.003.
  • Loutskina, E., and P. E. Strahan. 2015. “Financial Integration, Housing, and Economic Volatility.” Journal of Financial Economics 115: 25–41. doi:10.1016/j.jfineco.2014.09.009.
  • Mühlhofer, M. 2013. “Why Do REIT Returns Poorly Reflect Property Returns? Unrealizable Appreciation Gains Due to Trading Constraints as the Solution to the Short-Term Disparity.” Real Estate Economics 41: 814–857. doi:10.1111/reec.12001.
  • Pesaran, H. H., and Y. Shin. 1998. “Generalized Impulse Response Analysis in Linear Multivariate Models.” Economics Letters 58: 17–29. doi:10.1016/S0165-1765(97)00214-0.
  • Vansteenkiste, I., and P. Hiebert. 2011. “Do House Price Developments Spillover across Euro Area Countries? Evidence from a Global VAR.” Journal of Housing Economics 20: 299–314. doi:10.1016/j.jhe.2011.08.003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.