کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5055386 | 1371490 | 2011 | 6 صفحه PDF | دانلود رایگان |

This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out of the recent US real estate crisis or subprime crisis. Contrary to expectations, it is found that the relationship of the US market with the other markets following the US real estate market crisis cannot be characterized as one with contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails regardless whether the markets are under distress or not.
⺠Examines contagion of US real estate crisis to the UK, Japan and Australia. ⺠Applies a new contagion test based on case-resampling techniques. ⺠No contagion of US crisis to other markets; only normal dependence effects. ⺠Relationship between US and other markets is based on fundamentals. ⺠Results imply efficient relationship between US and other markets.
Journal: Economic Modelling - Volume 28, Issue 6, November 2011, Pages 2560-2565