Naslov
Systemic risk and spatiotemporal dynamics of the US housing market

Autori
Hao, Meng ; Wen-Jie, Xie ; Zhi-Qiang, Jiang ; Boris Podobnik, Boris ; Zhou, Wei-Xing, Stanley, H. Eugene

Izvornik
Scientific reports (2045-2322) 4 (2014); 1-7

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
systemic risk ; housing market

Sažetak
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).WeidentifyrichereconomicinformationinthelargesteigenvaluesdeviatingfromRMTpredictions for the housing market than forstockmarkets and findthat 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 consistent with the evolution of state clusters identified by the box clustering algorithm and the consensus clustering algorithm on the partial correlation matrices. Wefindthatdramaticincreasesinthesystemicriskareusuallyaccompaniedbyregimeshifts, whichprovide a means of early detection of housing bubbles.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija

POVEZANOST RADA