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摘要翻译：
本文探讨了美国大都市住宅市场之间的整合与传染。该分析应用联邦住房金融局(FHFA)来自384个大都市地区的房价重复销售指数来估计美国住房市场一体化的多因素模型。然后，它识别了大都市房价回报的统计跳跃，以及MSA同期和滞后跳跃相关性。最后，通过MSA房价空间动态的参数评估，对房地产市场的传染进行了评估。R平方度量显示，在2000年代，MSA住房市场一体化呈上升趋势，到2010年约为0.83。在加利福尼亚的MSA中，这一趋势尤其明显，平均积分从1997年的0.55增加到2008年的0.95！2000年代泡沫时期的特点类似，住房回报的统计跳跃发生率上升。同样，在加利福尼亚，跳跃发生率和MSA跳跃相关性特别高。对加州市场的传染分析表明，旧金山的房价回报往往领先于周边社区；相比之下，南加州MSA的房价回报似乎在很大程度上步调一致。分析表明，住房市场一体化程度较高，表明投资者分散MSA特有住房风险的机会有限。此外，结果表明，宏观和政策冲击通过大量MSA住房市场传播。研究结果与所有市场参与者有关，包括住房抵押贷款证券化的机构投资者以及住房监管机构、住房GSE、抵押贷款人和相关金融机构。
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英文标题：
《Integration and Contagion in US Housing Markets》
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作者：
John Cotter, Stuart Gabriel and Richard Roll
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metropolitan house price returns as well as MSA contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of MSA house price spatial dynamics. A R-squared measure reveals an upward trend in MSA housing market integration over the 2000s to approximately .83 in 2010. Among California MSAs, the trend was especially pronounced, as average integration increased from about .55 in 1997 to close to .95 in 2008! The 2000s bubble period similarly was characterized by elevated incidence of statistical jumps in housing returns. Again, jump incidence and MSA jump correlations were especially high in California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of surrounding communities; in contrast, southern California MSA house price returns appeared to move largely in lock step. The high levels of housing market integration evidenced in the analysis suggest limited investor opportunity to diversify away MSA-specific housing risk. Further, results suggest that macro and policy shocks propagate through a large number of MSA housing markets. Research findings are relevant to all market participants, including institutional investors in MBS as well as those who regulate housing, the housing GSEs, mortgage lenders, and related financial institutions.
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PDF链接：
https://arxiv.org/pdf/1110.4119
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