کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055386 1371490 2011 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
چکیده انگلیسی

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.

► Examines contagion of US real estate crisis to the UK, Japan and Australia. ► Applies a new contagion test based on case-resampling techniques. ► No contagion of US crisis to other markets; only normal dependence effects. ► Relationship between US and other markets is based on fundamentals. ► Results imply efficient relationship between US and other markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 28, Issue 6, November 2011, Pages 2560-2565
نویسندگان
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