Wang, Justine; Tomlins, Mark; Tiwari, Piyush - In: International Journal of Housing Markets and Analysis 16 (2022) 2, pp. 292-317
Purpose The purpose of this paper is to examine information and volatility linkages among real estate, equity, bond and money markets in Australia. Design/methodology/approach A novel rational expectations framework of financial contagion (Kodres and Pritsker, 2002), along with a combination of...