Return and Volatility Transmission in U.S. Housing Markets



This article uses the Case-Shiller U.S. Home Price Indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco and Miami as among the most influential markets. In terms of volatility linkages, there is a considerable amount of transmission in the East between New York, Boston and Washington, DC, and innovations in the housing markets of Miami, Los Angeles and San Francisco play an influential role within their respective regions. In comparison, markets in the Central and Mountain regions appear to be relatively independent from external influences. Overall, the linkages appear to be more intensive during the active phase of the real estate market (1999–2006) than during the calm phase (1989–1998).