Return and Volatility Transmission in U.S. Housing Markets

41 Pages Posted: 16 Nov 2011

See all articles by Hong Miao

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

Marc William Simpson

The John B. and Lillian E. Neff Department of Finance, University of Toledo

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Date Written: Winter 2011

Abstract

This article uses the Case‐Shiller U.S. Home Price Indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco and Miami as among the most influential markets. In terms of volatility linkages, there is a considerable amount of transmission in the East between New York, Boston and Washington, DC, and innovations in the housing markets of Miami, Los Angeles and San Francisco play an influential role within their respective regions. In comparison, markets in the Central and Mountain regions appear to be relatively independent from external influences. Overall, the linkages appear to be more intensive during the active phase of the real estate market (1999–2006) than during the calm phase (1989–1998).

Suggested Citation

Miao, Hong and Ramchander, Sanjay and Simpson, Marc W., Return and Volatility Transmission in U.S. Housing Markets (Winter 2011). Real Estate Economics, Vol. 39, Issue 4, pp. 701-741, 2011, Available at SSRN: https://ssrn.com/abstract=1960451 or http://dx.doi.org/10.1111/j.1540-6229.2010.00303.x

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
970-491-6681 (Phone)

Marc W. Simpson

The John B. and Lillian E. Neff Department of Finance, University of Toledo ( email )

Toledo, OH 43606
United States

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