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The quantile connectedness of the international housing market

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  • Wang, Xichen

Abstract

This paper investigates the interconnectedness of the international housing market using quantile connectedness models. It finds that: (1) House price shocks spread more strongly in tails than in the median. (2) Large positive shocks spread as strongly as large adverse shocks. (3) The US housing market is the leading transmitter of systematic shocks. The machine learning algorithms further reveal that the US interest rate is the most influential global factor in predicting spillover intensities. These findings suggest that policymakers should monitor global contagions, paying attention to booms/busts in US house prices and fluctuations in its monetary policy.

Suggested Citation

  • Wang, Xichen, 2025. "The quantile connectedness of the international housing market," Journal of International Money and Finance, Elsevier, vol. 152(C).
    • Handle: RePEc:eee:jimfin:v:152:y:2025:i:c:s0261560625000014
    DOI: 10.1016/j.jimonfin.2025.103266
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    References listed on IDEAS

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    More about this item

    Keywords

    International housing market; Quantile connectedness; Machine learning; Global financial cycle;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • 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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