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A web of shocks: Crises across Asian real estate market

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  • Shaun A. Bond
  • Mardi Dungey
  • Renee Fry

Abstract

The behaviour of real estate markets during the 1997-98 financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal substantial diversification opportunities prior to the crisis, which are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing some scope for diversification across asset classes during the crisis period.

Suggested Citation

  • Shaun A. Bond & Mardi Dungey & Renee Fry, 2004. "A web of shocks: Crises across Asian real estate market," CAMA Working Papers 2004-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2004-02
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    More about this item

    Keywords

    Latent factor; contagion; indirect estimation; real estate;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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