caa a22 4500 606165924 CHVBK 20210128100655.0 cr unu---uuuuu 210128e20150301xx s 000 0 eng 10.1007/s00168-015-0669-x doi (NATIONALLICENCE)springer-10.1007/s00168-015-0669-x Housing-bubble vulnerability and diversification opportunities during housing boom-bust cycles: evidence from decomposition of asset price returns [Elektronische Daten] [MeiChi Huang, Tzu-Chien Wang] This paper examines the implications of housing-bubble vulnerability and time-varying risk management extracted from permanent-transitory ratios of asset price returns, which measure the relative importance of permanent and transitory shocks to asset markets. We extend the unobserved components model, which divides asset price returns into permanent and transitory components, to investigate the interrelations across housing assets, real estate investment trusts (REITs), and stocks in the USA. After 1984, which is the estimated break point in cross-asset interactions, many metropolitan statistical area-level housing markets display vulnerability to housing bubbles due to high permanent-transitory ratios, which suggests weak monetary policy effectiveness in stabilizing the housing boom-bust cycles. Households can diversify long-run risks by establishing stock-housing and REIT-stock portfolios after 1984, but they have fewer diversification opportunities in the post-1984 subperiod than in the pre-1984 subperiod. Springer-Verlag Berlin Heidelberg, 2015 Huang MeiChi Department of Business Administration, National Taipei University, 151, University Rd., San Shia District, 23741, New Taipei City, Taiwan, ROC aut Wang Tzu-Chien Discipline of Finance, College of Management, Yuan Ze University, Taoyuan City, Taiwan, ROC aut The Annals of Regional Science Springer Berlin Heidelberg 54/2(2015-03-01), 605-637 0570-1864 54:2<605 2015 54 168 https://doi.org/10.1007/s00168-015-0669-x text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s00168-015-0669-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Huang MeiChi Department of Business Administration, National Taipei University, 151, University Rd., San Shia District, 23741, New Taipei City, Taiwan, ROC aut NATIONALLICENCE 700 1- Wang Tzu-Chien Discipline of Finance, College of Management, Yuan Ze University, Taoyuan City, Taiwan, ROC aut NATIONALLICENCE 773 0- The Annals of Regional Science Springer Berlin Heidelberg 54/2(2015-03-01), 605-637 0570-1864 54:2<605 2015 54 168