The paper attempts to provide, for housing markets, evidence of 'shift-contagion' at the international level, i.e., regime shifts in the transmission of asset prices during crisis periods. The focus is in particular on UK and Spain. We use a Markov Switching FAVAR framework and regime-dependent...

We examine house price co-movements within and cross four major economic blocks: North America, Europe, Oceania and the Far East. The purpose of this study is to establish: (1) Whether there was increased house price correlation within a given economic block or across different blocks in the...

Real estate markets are frequently affected by growth and contraction cycles. Given the social and economic impacts of changes on real estate prices, the understanding of these cycles is crucial from a socio-economic perspective, but also, and more importantly, from a public policy view. The...

The Campbell-Shiller present value formula implies a factor structure for the price-rent ratio of the housing market. Using a dynamic factor model, we decompose the price-rent ratios of 17 major housing markets into a national factor and independent local factors, and we link these factors to...