2010-03: The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods (Working paper)
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Roca, Eduardo
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Akimov, Alexandr
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19 pages
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Abstract
This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out of the recent US real estate crisis or subprime crisis. Contrary to expectations, it is found that the relationship of the US market with the other markets following the US real estate market crisis cannot be characterized as one with contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails regardless whether the markets are under distress or not. Running title: Testing for US Real Estate Market Contagion Effect
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Copyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
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Subject
F36 - Financial Aspects of Economic Integration
C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
G15 - International Financial Markets
Contagion
Case-resampling Bootstrap
Dependency
Real Estate