title: Systemic risk and spatiotemporal dynamics of the US housing market.
abstract: 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). We identify richer economic information in the largest eigenvalues deviating from RMT predictions for the housing market than for stock markets and find that 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. We find that dramatic increases in the systemic risk are usually accompanied by regime shifts, which provide a means of early detection of housing bubbles.
authors.affiliation: 1] School of Business, East China University of Science and Technology, Shanghai 200237, China [2] School of Science, East China University of Science and Technology, Shanghai 200237, China.
authors.forename: Hao
authors.initials: H
authors.lastname: Meng
authors.affiliation: 1] School of Business, East China University of Science and Technology, Shanghai 200237, China [2] School of Science, East China University of Science and Technology, Shanghai 200237, China.
authors.forename: Wen-Jie
authors.initials: WJ
authors.lastname: Xie
authors.affiliation: 1] School of Business, East China University of Science and Technology, Shanghai 200237, China [2] Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China.
authors.forename: Zhi-Qiang
authors.initials: ZQ
authors.lastname: Jiang
authors.affiliation: 1] Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA [2] Zagreb School of Economics and Management, 10000 Zagreb, Croatia [3] Faculty of Civil Engineering, University of Rijeka, 51000 Rijeka, Croatia [4] Faculty of Economics, University of Ljubljana, 1000 Ljubljana, Slovenia.
authors.forename: Boris
authors.initials: B
authors.lastname: Podobnik
authors.affiliation: 1] School of Business, East China University of Science and Technology, Shanghai 200237, China [2] School of Science, East China University of Science and Technology, Shanghai 200237, China [3] Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China.
authors.forename: Wei-Xing
authors.initials: WX
authors.lastname: Zhou
authors.affiliation: Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA.
authors.forename: H Eugene
authors.initials: HE
authors.lastname: Stanley