Abstract

This paper investigates the relationships among the US, UK, and Canadian housing markets from two aspects: the driving forces of housing cycles and the structures of correlation coefficients in different phases of housing cycles. The results indicate that the structures of driving forces and correlation coefficients are deeply hinged on the international housing markets. For the US and Canada pair, the driving forces of cyclical patterns are related to each other and the regime-switching correlation coefficients are always positive. However, for the US and UK pair and the UK and Canada pair, the driving forces are independent and there is no consistent pattern for the correlations.

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