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A Web Of Shocks: Crises Across Asian Real Estate Markets

  • Shaun A. Bond
  • Mardi Dungey
  • Renée Fry
Article

Abstract

The behaviour of real estate markets during the 1997–98 Financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal that diversification opportunities prior to the crisis are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing evidence that investment in multiple asset classes provides some protection from large market downturns.

Keywords

Latent factor Contagion Indirect estimation Real estate 

JEL Classification

G14 F36 C30 

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Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Department of Land EconomyCambridgeUK
  2. 2.CERF, University of CambridgeCambridgeUK
  3. 3.CAMA, Australian National UniversityACTAustralia
  4. 4.Centre for Applied Macroeconomic AnalysisAustralian National UniversityCanberraAustralia

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