Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets
研究了1995-2009年间美国19个区域住房市场在收益、特质风险和波动上的空间关联，发现经济邻近性比地理邻近性更重要，且危机期间存在显著传染效应，这解释了地理多样化策略的失效。
This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.