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.
Original language | English |
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Pages (from-to) | 2560-2565 |
Number of pages | 6 |
Journal | Economic Modelling |
Volume | 28 |
Issue number | 6 |
DOIs | |
Publication status | Published - Nov 2011 |
Keywords
- Case-resampling bootstrap
- Contagion
- Dependency
- Real estate
ASJC Scopus subject areas
- Economics and Econometrics