I investigate connectedness between fourteen national residential property markets using a generalized variance decomposition network. While a large number of cross-market connections are uncovered, some links are stronger than others. The US is found to be the largest exporter of residential property risk, while the Korean, Italian and Australian markets transmit relatively little uncertainty to other countries. In terms of risk imports, the UK ranks first with about 66.6 percent of its property risk sourced from foreign markets. Lastly, some property markets, e.g. Germany, appear to be relatively disconnected from the rest of the world in terms of both import and export of their residential property risk.
- National residential property markets