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Browse: Home / International House Price Linkages: Time-Varying Estimates and Contagion for the G-7

International House Price Linkages: Time-Varying Estimates and Contagion for the G-7

By Stan Longhofer on 01/20/2017

William Miles

Journal of Housing Research, vol. 26, 2017, pp. 195-222

Co-movement between house prices across different countries has important implications for global investors. I employ a new data set on international house prices to examine home value co-movements in G-7 nations. I find linkages that vary through time. In some periods, the correlations are negative, while at other times, these co-movements reach all-time highs. This pattern is consistent with previous research on contagion for other financial assets. Further investigation reveals, however, that contrary to some previous findings, there has not been a secular increase in house price co-movement over the last four decades.

Posted in Academic Research, Research & Data | Tagged Miles

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