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US housing prices and the transmission mechanism of connectedness

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  • Roy Chowdhury, S.
  • Gupta, Kirti
  • Tzeremes, Panayiotis

Abstract

This research examines the connectedness effects of US house prices across different metropolitan areas, utilizing a quantile connectedness model. We identify MSAs that could play a significant role in the transmission of house prices, either as net contributors or recipients of these effects. The level of quantiles emerges as another crucial factor, influencing the behavior of various metropolitan areas across different house price ranges. Denver, Los Angeles, Seattle, Phoenix, San Diego, and San Francisco exhibit net-contributing behavior, whereas Chicago, Detroit, Las Vegas, Minneapolis, New York, and Atlanta show a net-receiving trend. Metropolitan areas like Portland, Boston, Charlotte, Cleveland, Dallas, Miami, Tampa, and Washington display roles that can either be contributing or receiving over the time period. Lastly, external factors such as economic crises or health events like the Covid-19 outbreak play a pivotal role in shaping MSAs' behavior.

Suggested Citation

  • Roy Chowdhury, S. & Gupta, Kirti & Tzeremes, Panayiotis, 2023. "US housing prices and the transmission mechanism of connectedness," Finance Research Letters, Elsevier, vol. 58(PD).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010085
    DOI: 10.1016/j.frl.2023.104636
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    References listed on IDEAS

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    Cited by:

    1. Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    House price indices; Metropolitan statistical areas; Quantile vector Auto rergression; Global financial crisis; Covid-19;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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