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作者

Nafeesa Yunus

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

作者单位

Department of Finance and Economics, Merrick School of BusinessThe University of BaltimoreBaltimoreUSA

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.