Systemic risk and spatiotemporal dynamics of the US housing market.

ABSTRACT: Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the Random Matrix Theory (RMT). We identify richer economic information in the largest eigenvalues deviating from RMT predictions for the housing market than for stock markets and find that the component signs of the eigenvectors contain either geographical information or the extent of differences in house price growth rates or both. By looking at the evolution of different quantities such as eigenvalues and eigenvectors, we find that the US housing market experienced six different regimes, which is consi

SUBMITTER: Meng H 

PROVIDER: S-EPMC3888986 | biostudies-literature | 2014 Jan

REPOSITORIES: biostudies-literature