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dc.contributor.authorMiles, William
dc.date.accessioned2017-05-25T20:33:03Z
dc.date.available2017-05-25T20:33:03Z
dc.date.issued2015
dc.identifier.citationWilliam Miles. 2015. Contagion versus Interdependence Across Regional U.S. Housing Markets and Implications for RMBS Geographic Diversification Strategy. Journal of Real Estate Portfolio Management: 2015, Vol. 21, No. 1, pp. 33-52
dc.identifier.issn0896-5803
dc.identifier.urihttp://aresjournals.org/doi/abs/10.5555/1083-5547-21.1.33
dc.identifier.urihttp://hdl.handle.net/10057/13180
dc.descriptionClick on the URL link to access the article (may not be free).
dc.description.abstractHome prices in the United States often exhibit little (and sometimes even negative) correlation across different regions. This reflects segmentation in the national housing market and also provides an apparent opportunity for investors to diversify their exposure to regional downturns by creating residential mortgage-backed securities (RMBSs) out of geographically dispersed home loans. Unfortunately, in a crisis, correlations may rise, and the benefits from geographical diversification may disappear just when investors most desire them. Using a flexible generalized autoregressive conditional heteroscedasticity (GARCH) technique, I find that regional correlations indeed rose dramatically during the latest downturn, in some cases to unprecedented levels. Moreover, this increase in co-movement was clearly financial contagion, and not merely interdependence. Investors in mortgage-backed and other housing securities should thus not rely on house price correlations calculated during "normal" times.
dc.language.isoen_US
dc.publisherAmerican Real Estate Society
dc.relation.ispartofseriesJournal of Real Estate Portfolio Management;v.21:no.1
dc.subjectHome prices - United States
dc.titleContagion versus interdependence across regional U.S. housing markets and implications for RMBS geographic diversification strategy
dc.typeArticle
dc.rights.holderCopyright 2015 American Real Estate Society


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