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A tale of two shocks: The dynamics of international real estate markets
Author(s) -
Bekiros Stelios,
Dahlström Amanda,
Uddin Gazi Salah,
Ege Oskar,
Jayasekera Ranadeva
Publication year - 2020
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1725
Subject(s) - stylized fact , economics , real estate , volatility (finance) , financial economics , quantile regression , treasury , stock market , stock (firearms) , econometrics , monetary economics , macroeconomics , finance , mechanical engineering , history , paleontology , archaeology , horse , biology , engineering
Abstract We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, under downward (bearish), normal (median), and upward (bullish) trending conditions. Monthly data series for the United States, United Kingdom, Australia, Singapore, and Hong Kong are analysed, in an attempt to quantify uncertainty and detect trading patterns for the largest securitized real estate markets. We find that the stock market volatility, measured by the “pushing factor” VIX S&P500 , provides agents with the most reliable and efficient information in terms of predicting market returns during bear market conditions, whereas “pulling factors” such as money supply, treasury yields, and unemployment explain the main stylized facts, incorporating contagion and diverse endogenous and exogenous shocks. Our work provides a richer understanding on comovements in house prices, allowing policy makers to anticipate shocks in global markets in a timely manner.