Volatility spillover and international contagion of housing bubbles

HIGHLIGHTS

  • who: Jean-Louis Bago and colleagues from the Department of Economics, Laval University, Québec, QC G V , Canada have published the paper: Volatility Spillover and International Contagion of Housing Bubbles, in the Journal: (JOURNAL)
  • what: Third the authors assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. The aim of this paper is three-fold. Third, the authors assess bubble contagion between Japan and its economic partners. Most of the studies in the literature, aiming at detecting housing bubbles, used price-to-rent ratio to account for . . .

     

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