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On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market

Damianov, D.S.; Elsayed, A.H.

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market Thumbnail


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Abstract

Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (REITs) markets, and the stock market. Each of the four markets acts as both receiver and transmitter of spillovers during specific subperiods. While in economic downturns the housing market is generally a transmitter of spillovers, we find that during the recent mortgage crisis the housing market was a receiver of spillovers predominantly from the mortgage REITs market but also, to a lesser degree, from the equity REITs market. In periods of high political uncertainty and in periods of easy credit, the equity REITs and the stock market transmit spillovers to the housing and the mortgage REITs market.

Citation

Damianov, D., & Elsayed, A. (2018). On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market. Finance Research Letters, 27, 193-200. https://doi.org/10.1016/j.frl.2018.03.001

Journal Article Type Article
Acceptance Date Mar 1, 2018
Online Publication Date Mar 8, 2018
Publication Date Dec 31, 2018
Deposit Date Mar 6, 2018
Publicly Available Date Mar 8, 2019
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 27
Pages 193-200
DOI https://doi.org/10.1016/j.frl.2018.03.001
Public URL https://durham-repository.worktribe.com/output/1338458

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