【摘要】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. 

【文献来源】Huang M C;Wang T C.Annals of regional Science.2015（2）