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Connectedness among Northeast Asian Housing Markets and Business Cycles

Author

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  • Lee, Hahn Shik

    (Sogang University)

  • Lee, Woo Suk

    (Sogang University)

Abstract

This paper investigates the connectedness among housing markets using the methodology developed in Diebold and Yilmaz (2014, 2016). In particular, we examine the international linkages among housing markets in Northeast Asian countries: namely, China, Japan, and Korea. The basic finding is that connectedness measures vary over the business cycle, with a surge during the global financial crisis. However, the international linkages among the three Asian housing markets seem rather weak. By including GDP in the model, we also find that housing market in one country is more affected by its own economic conditions than that of neighboring countries. Given earlier evidence that cross-regional spillover among domestic housing markets is high, this result suggests that housing market connectedness is more of domestic cross-regional phenomena, rather than international ones.

Suggested Citation

  • Lee, Hahn Shik & Lee, Woo Suk, 2020. "Connectedness among Northeast Asian Housing Markets and Business Cycles," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 24(2), pages 185-203, June.
    • Handle: RePEc:ris:eaerev:0376
    DOI: 10.11644/KIEP.EAER.2020.24.2.376
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    Cited by:

    1. Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).

    More about this item

    Keywords

    Housing Market; Business Cycle; Northeast Asian Region; Connectedness; International Linkage;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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