A Web Of Shocks: Crises Across Asian Real Estate Markets

被引:0
作者
Shaun A. Bond
Mardi Dungey
Renée Fry
机构
[1] Department of Land Economy,Centre for Applied Macroeconomic Analysis
[2] CERF,undefined
[3] University of Cambridge,undefined
[4] CAMA,undefined
[5] Australian National University,undefined
[6] Australian National University,undefined
来源
The Journal of Real Estate Finance and Economics | 2006年 / 32卷
关键词
Latent factor; Contagion; Indirect estimation; Real estate; G14; F36; C30;
D O I
暂无
中图分类号
学科分类号
摘要
The behaviour of real estate markets during the 1997–98 Financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal that diversification opportunities prior to the crisis are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing evidence that investment in multiple asset classes provides some protection from large market downturns.
引用
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页码:253 / 274
页数:21
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