Volatility Spillover and International Contagion of Housing Bubbles

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent...

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Bibliographic Details
Main Authors: Jean-Louis Bago, Koffi Akakpo, Imad Rherrad, Ernest Ouédraogo
Format: Article
Published: MDPI AG 2021-06-01
Series:Journal of Risk and Financial Management
Online Access:https://www.mdpi.com/1911-8074/14/7/287