Time‐varying connectedness of metropolitan housing markets
利用1975年至今的美国382个大都市月度房价数据，构建了住房市场的时变关联性指标，发现长期关联性强于瞬时关联性，且住房市场关联性领先于商业周期，有助于预测未来衰退概率。
Abstract We construct a time‐varying measure of connectedness for 382 U.S. metropolitan housing markets using monthly house price data from 1975 to the present. Housing connectedness in the long run is found to be much stronger than the instantaneous connectedness, both of which exhibit notable variation over time and across metropolitan areas. Unlike stock market connectedness, housing market connectedness leads the business cycle; it helps predict the likelihood of future recessions.