This paper uses the Case-Shiller U.S. house price indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco, and Miami to be among the most influential markets. In terms of...

This paper investigates spatial linkages in returns, idiosyncratic risks, and volatilities across nineteen 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...

This paper applies a time-varying parameter vector autoregressive approach to estimate the relative effects of housing and stock returns on the growth rate of US consumption over time. We use annual data from 1890 to 2012 and find that at the one- and two-year horizons and over time, generally...