Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316572 
Year of Publication: 
2020
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 24 [Issue:] 2 [Year:] 2020 [Pages:] 185-203
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
This paper investigates the connectedness among housing markets using the methodology developed in Diebold and Yilmaz (2014, 2016). In particular, we examine the international linkages among housing markets in Northeast Asian countries: namely, China, Japan, and Korea. The basic finding is that connectedness measures vary over the business cycle, with a surge during the global financial crisis. However, the international linkages among the three Asian housing markets seem rather weak. By including GDP in the model, we also find that housing market in one country is more affected by its own economic conditions than that of neighboring countries. Given earlier evidence that cross-regional spillover among domestic housing markets is high, this result suggests that housing market connectedness is more of domestic cross-regional phenomena, rather than international ones.
Subjects: 
Housing Market
Business Cycle
Northeast Asian Region
Connectedness
International Linkage
JEL: 
C32
E01
R11
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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