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

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  • Nafeesa Yunus

    (The University of Baltimore)

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 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.

Suggested Citation

  • Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    • Handle: RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-017-9639-7
    DOI: 10.1007/s11146-017-9639-7
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    More about this item

    Keywords

    Real estate sectors; Housing crisis; Ripple effects; Contagion; Portfolio; Diversification;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F15 - International Economics - - Trade - - - Economic Integration

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