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A tale of two shocks: The dynamics of international real estate markets
European Univ Inst, Italy.
Transportstyrelsen, Sweden.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
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2020 (English)In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 25, no 1Article in journal (Refereed) Published
Abstract [en]

We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, under downward (bearish), normal (median), and upward (bullish) trending conditions. Monthly data series for the United States, United Kingdom, Australia, Singapore, and Hong Kong are analysed, in an attempt to quantify uncertainty and detect trading patterns for the largest securitized real estate markets. We find that the stock market volatility, measured by the "pushing factor" VIXSamp;P500, provides agents with the most reliable and efficient information in terms of predicting market returns during bear market conditions, whereas "pulling factors" such as money supply, treasury yields, and unemployment explain the main stylized facts, incorporating contagion and diverse endogenous and exogenous shocks. Our work provides a richer understanding on comovements in house prices, allowing policy makers to anticipate shocks in global markets in a timely manner.

Place, publisher, year, edition, pages
WILEY , 2020. Vol. 25, no 1
Keywords [en]
financial crises; housing market; quantile regression; uncertainty
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-163209DOI: 10.1002/ijfe.1725ISI: 000506026900001OAI: oai:DiVA.org:liu-163209DiVA, id: diva2:1391038
Note

Funding Agencies|Jan Wallanders and Tom Hedelius Foundation

Available from: 2020-02-03 Created: 2020-02-03 Last updated: 2020-02-03

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Uddin, Gazi SalahEge, Oskar
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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More styles
Language
  • de-DE
  • en-GB
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  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
  • html
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  • asciidoc
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