Volatility spillover and international contagion of housing bubbles

Artikel

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan's housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan's real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 7 ; Pages: 1-14 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: bubble ; contagion ; DCC-GARCH ; Japan ; real estate

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bago, Jean-Louis ; Akakpo, Koffi ; Rherrad, Imad ; Ouédraogo, Ernest
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14070287
• Handle: http://hdl.handle.net/10419/258391
• Last update: 10.03.2025, 11:44 AM CET