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Ripple effect and contagious effect in the US regional housing markets

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  • Ming-Chu Chiang
  • I-Chun Tsai

Abstract

The existing researches show that the relationships across regional housing market in the USA are asymmetric, and the ripple effect may exist among regional housing markets. To study the ripple effect among regional housing market, this research uses vector autoregression model, Granger causality test and the forecast error variance decomposition to study the relationships within regional and cross-regional housing markets. Besides, this research also uses copula model to inspect the contagious effects between regional housing markets. The main empirical results show that, first, among the metropolitans under studied, Los Angeles in western region, New York in eastern region and Miami in southern region are the source of shock in their respective region. Second, apart from those in southern region, conditional contagious effects between regional housing markets are dynamic during the study period and there exist obvious contagious effect during the period of global financial crises started from 2008 to 2009. Third, contagious effects are more significant within the same region but less obvious in cross-regional housing markets. We also found that housing price comovement in down markets are rare to observe than housing price comovements in up markets. Copyright Springer-Verlag Berlin Heidelberg 2016

Suggested Citation

  • Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
    • Handle: RePEc:spr:anresc:v:56:y:2016:i:1:p:55-82
    DOI: 10.1007/s00168-015-0718-5
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    2. Jin Hu & Xuelei Xiong & Yuanyuan Cai & Feng Yuan, 2020. "The Ripple Effect and Spatiotemporal Dynamics of Intra-Urban Housing Prices at the Submarket Level in Shanghai, China," Sustainability, MDPI, vol. 12(12), pages 1-17, June.
    3. John Muellbauer, 2019. "A Tale of Two Cities: Is Overvaluation a Capital Issue?," Springer Books, in: Rob Nijskens & Melanie Lohuis & Paul Hilbers & Willem Heeringa (ed.), Hot Property, chapter 0, pages 51-62, Springer.
    4. Alan Tidwell & Yan (Olivia) Lu & Junsoo Lee & Piyali Banerjee, 2023. "Nature of comovements in US state and MSA housing prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(4), pages 959-989, July.
    5. Chang, Kuang-Liang, 2020. "Are cyclical patterns of international housing markets interdependent?," Economic Modelling, Elsevier, vol. 88(C), pages 14-24.
    6. Ming-Chu Chiang & I-Chun Tsai, 2020. "Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets," Sustainability, MDPI, vol. 12(21), pages 1-20, October.
    7. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.
    8. I-Chun Tsai, 2019. "Interregional correlations in the US housing market at three price tiers," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 63(1), pages 1-24, August.
    9. I-Chun Tsai, 2018. "The cause and outcomes of the ripple effect: housing prices and transaction volume," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 61(2), pages 351-373, September.
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    Keywords

    R30; C58;

    JEL classification:

    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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