On the Price Comovement of U.S. Residential Real Estate Markets
研究了1992至2008年间美国14个大都市区房价指数的共同波动，发现共同波动增加主要源于基本面因素，过度共同波动并不像普遍认为的那样重要。
We investigate the comovement among Case‐Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can (cannot) be attributed to common fundamental factors directly influencing real estate prices. We find that i) comovement among these markets considerably increased over the sample period, especially in the late 1990s; ii) this increase is mostly attributable to underlying systematic real and financial factors, consistent with a greater fundamental integration of those markets; and iii) excess comovement is a less important factor than commonly believed. We discuss the implications of these results for the evolution of U.S. real estate prices over the last two decades and the ongoing credit crisis.