The quantile connectedness of the international housing market

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-01-09 DOI:10.1016/j.jimonfin.2025.103266

Xichen Wang

引用次数: 0

Abstract

This paper investigates the interconnectedness of the international housing market using quantile connectedness models. It finds that: (1) House price shocks spread more strongly in tails than in the median. (2) Large positive shocks spread as strongly as large adverse shocks. (3) The US housing market is the leading transmitter of systematic shocks. The machine learning algorithms further reveal that the US interest rate is the most influential global factor in predicting spillover intensities. These findings suggest that policymakers should monitor global contagions, paying attention to booms/busts in US house prices and fluctuations in its monetary policy.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.