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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.58,Issue2,P.264-289

语言

英文

关键字

Real estate sectors; Housing crisis; Ripple effects; Contagion; Portfolio; Diversification; C22; C58; G1; G11; F15; AUTOREGRESSIVE TIME-SERIES; UNIT-ROOT; INTERNATIONAL DIVERSIFICATION; MARKET CONDITIONS; COINTEGRATION; VOLATILITY; TESTS; CONTAGION; PRICE

作者单位

[Yunus, Nafeesa] Univ Baltimore, Dept Finance & Econ, Merrick Sch Business, 1420 North Charles St, Baltimore, MD 21201 USA. Yunus, N (reprint author), Univ Baltimore, Dept Finance & Econ, Merrick Sch Business, 1420 North Charles St, Baltimore, MD 21201 USA. E-Mail: Nafeesa.yunus@gmail.com

摘要

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 that 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.