How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test

Abdulnasser Hatemi-J, Eduardo Roca

    Research output: Contribution to journalArticlepeer-review

    17 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)2560-2565
    Number of pages6
    JournalEconomic Modelling
    Volume28
    Issue number6
    DOIs
    Publication statusPublished - Nov 2011

    Keywords

    • Case-resampling bootstrap
    • Contagion
    • Dependency
    • Real estate

    ASJC Scopus subject areas

    • Economics and Econometrics

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