In this study, we investigate the lead–lag relationship between housing prices and sales volume across four US regional housing markets, namely Midwest, Northeast, South, and West. To achieve this, we employ a time-varying parameter vector autoregressive framework of analysis that focuses on dynamic connectedness. We not only investigate how either prices or volumes independently co-move across regions but also, we provide evidence on how prices and volumes combined interact with each other across regions over time. In addition, considering the fact that the relevant connectedness index that emerges from our analysis can be used as a measure of risk, we proceed with the development of portfolios aiming to identify opportunities for reducing investment risk in the housing market. Main findings indicate that (i) all four regions can either transmit or receive shocks in the housing market with regard to prices and volume, (ii) during turbulent economic periods, it is sales volume shocks that drive developments in the US housing market, and (iii) there is potential for effective portfolio diversification. Results have policy implications particularly considering the negative outcomes of overheated housing markets and are also relevant to investors and finance professionals for formulating effective portfolio diversification strategies.

在这项研究中，我们调查了美国中西部，东北部，南部和西部四个区域性住房市场的房价与销量之间的超前-滞后关系。为了实现这一点，我们采用了时变参数向量自回归分析框架，该框架着重于动态连通性。我们不仅研究价格或数量如何在各个区域之间独立地共同移动，而且还提供有关价格和数量如何随时间跨区域相互影响的证据。此外，考虑到我们的分析得出的相关连通性指数可以用来衡量风险，因此，我们着手开发投资组合，以寻找降低住房市场投资风险的机会。主要发现表明：（i）四个地区都可以在住房市场上传递有关价格和数量的冲击；（ii）在动荡的经济时期，正是销量冲击推动了美国住房市场的发展；以及（iii）有可能实现有效的投资组合多元化。结果具有政策意义，特别是考虑到过热的住房市场的负面结果，并且对于投资者和金融专业人员制定有效的投资组合多元化战略也具有重要意义。