| Title: |
CAN METROPOLITAN HOUSING RISK BE DIVERSIFIED? A CAUTIONARY TALE FROM THE RECENT BOOM AND BUST |
| Authors: |
John Cotter; Stuart Gabriel; Richard Roll; Tom Conlon; Jason Chang; Tom Davidoff; Mark Garmaise; Mark Grinblatt; Stijn Van; Avanidhar Subrahmanyam; Robert Shiller; I. Introduction |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Publication Year: |
2012 |
| Collection: |
CiteSeerX |
| Subject Terms: |
integration; correlation; contagion; house price returns |
| Description: |
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing markets. Results reveal a high and increasing level of integration among US markets over the decade of the 2000s, especially in California. We apply integration results to assess the risk of alternative housing investment portfolios. Portfolio simulation indicates reduced diversification potential and increased risk in the wake of estimated increases in metropolitan housing market integration. Research findings provide new insights regarding the synchronous non-performance of geographically-disparate MBS investments during the late 2000s. |
| Document Type: |
text |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.5058 |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.5058 |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.7A49EDEC |
| Database: |
BASE |