# Volatility Spillover and International Contagion of Housing Bubbles

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## Abstract

**:**

## 1. Introduction

## 2. Data

## 3. Methodology

#### 3.1. Test for Explosive Behavior and Bubble Episodes

#### 3.2. Multivariate DCC-GARCH Model for Volatility Spillover

#### 3.3. Non-Parametric Model with Time-Varying Coefficient for Bubble Contagion

## 4. Empirical Results

#### 4.1. Bubble Detection

#### 4.2. Price Volatility Spillover Effects

#### 4.3. Bubble Contagion

## 5. Conclusions

## Author Contributions

## Funding

## Institutional Review Board Statement

## Data Availability Statement

## Conflicts of Interest

## Notes

1 | |

2 | China is not included in our analysis because of insufficient data. |

3 | The OECD real estate price indexes measure the rate at which the prices of residential properties (flats, detached houses, terraced houses, etc.) purchased by households are changing over time. The data cover both new and existing dwellings, independently of their final use and their previous owners. Only market prices are considered. OECD also includes the price of the land on which residential buildings are located in the housing price index. |

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Country | Mean | Sd | Min | Max | Skewness | Kurtosis |
---|---|---|---|---|---|---|

Japan | 128.2 | 25.7 | 91.1 | 187.7 | 0.27 | 2.08 |

United States | 99.02 | 9.1 | 87.9 | 127.4 | 1.24 | 4.29 |

Eurozone | 95.11 | 11.9 | 68.5 | 117.1 | −0.33 | 2.53 |

United Kingdom | 69.13 | 20.4 | 44.0 | 112.5 | 0.57 | 1.92 |

ADF | PP | KPSS | ||||
---|---|---|---|---|---|---|

Country | Stat | pv | Stat | pv | Stat | pv |

Japan | −1.716 | 0.418 | −2.468 | 0.379 | 0.638 | 0.01 |

United States | −0.756 | 0.774 | −2.263 | 0.465 | 0.248 | 0.1 |

Eurozone | −1.780 | 0.390 | −1.911 | 0.327 | 0.786 | 0.00 |

United Kingdom | 0.054 | 0.959 | −1.969 | 0.588 | 0.935 | 0.01 |

Country | Period | Optimal Lags | GSADF | Interpretation |
---|---|---|---|---|

Japan | 1970Q1–2018Q4 | 1 | 10.98 *** | Presence of bubble |

United States | 1970Q1–2018Q4 | 3 | 7.37 *** | Presence of bubble |

Eurozone | 1970Q1–2018Q4 | 5 | 3.34 *** | Presence of bubble |

United Kingdom | 1970Q1–2018Q4 | 1 | 3.83 *** | Presence of bubble |

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**MDPI and ACS Style**

Bago, J.-L.; Akakpo, K.; Rherrad, I.; Ouédraogo, E.
Volatility Spillover and International Contagion of Housing Bubbles. *J. Risk Financial Manag.* **2021**, *14*, 287.
https://doi.org/10.3390/jrfm14070287

**AMA Style**

Bago J-L, Akakpo K, Rherrad I, Ouédraogo E.
Volatility Spillover and International Contagion of Housing Bubbles. *Journal of Risk and Financial Management*. 2021; 14(7):287.
https://doi.org/10.3390/jrfm14070287

**Chicago/Turabian Style**

Bago, Jean-Louis, Koffi Akakpo, Imad Rherrad, and Ernest Ouédraogo.
2021. "Volatility Spillover and International Contagion of Housing Bubbles" *Journal of Risk and Financial Management* 14, no. 7: 287.
https://doi.org/10.3390/jrfm14070287