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Mapping out network connections between residential property markets

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  • Milunovich, George

Abstract

I investigate connectedness between fourteen national residential property markets using a generalized variance decomposition network. While a large number of cross-market connections are uncovered, some links are stronger than others. The US is found to be the largest exporter of residential property risk, while the Korean, Italian and Australian markets transmit relatively little uncertainty to other countries. In terms of risk imports, the UK ranks first with about 66.6 percent of its property risk sourced from foreign markets. Lastly, some property markets, e.g. Germany, appear to be relatively disconnected from the rest of the world in terms of both import and export of their residential property risk.

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  • Milunovich, George, 2020. "Mapping out network connections between residential property markets," Economics Letters, Elsevier, vol. 189(C).
    • Handle: RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300379
    DOI: 10.1016/j.econlet.2020.109006
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    References listed on IDEAS

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    Cited by:

    1. Agyemang, Abraham & Chowdhury, Iftekhar & Balli, Faruk, 2021. "Quantifying Return Spillovers in Global Real Estate Markets," Journal of Housing Economics, Elsevier, vol. 52(C).

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    More about this item

    Keywords

    Connectedness; National residential property markets; Networks;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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