Damianov, D.S. and Elsayed, A.H. (2018) 'On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market.', Finance research letters., 27 . pp. 193-200.
Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (REITs) markets, and the stock market. Each of the four markets acts as both receiver and transmitter of spillovers during specific subperiods. While in economic downturns the housing market is generally a transmitter of spillovers, we find that during the recent mortgage crisis the housing market was a receiver of spillovers predominantly from the mortgage REITs market but also, to a lesser degree, from the equity REITs market. In periods of high political uncertainty and in periods of easy credit, the equity REITs and the stock market transmit spillovers to the housing and the mortgage REITs market.
|Full text:||(AM) Accepted Manuscript|
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|Publisher Web site:||https://doi.org/10.1016/j.frl.2018.03.001|
|Publisher statement:||© 2018 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/|
|Date accepted:||01 March 2018|
|Date deposited:||06 March 2018|
|Date of first online publication:||08 March 2018|
|Date first made open access:||08 March 2019|
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