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...

Although spatial techniques have been used to capture the spillovers in asset returns across different regions, they have not yet been applied in an asset pricing context. Combining asset pricing models and equilibrium spatial models can be a good way to disentangle spillover effects across...

This paper is the first to examine the relationship between the performance of public real estate companies (PRECs) and the industrial sector of their tenants. By investigating the performance of a large sample of European real estate firms from 2010 to 2019 and information pertaining to the...

This paper investigates how monetary policy stance and mortgage market structure affect non-fundamental house price movements in eleven Euro area countries. Based on a three-stage approach, our empirical evidence suggests that a one-time monetary-easing shock can significantly trigger house...

We explore spatio-temporal aspects of global commercial real estate price movements and consider two channels where prices may spill over between global cities: (i) through a dominant market and (ii) through “neighbouring” markets. Neighbouring, here, is defined as the degree of overlap in...