Abstract
This study investigates risk transmission and volatility connectedness among 20 major U.S. metropolitan housing markets from 2000 to 2025, using non-seasonally adjusted Case–Shiller Home Price Indices. We employ an integrated framework combining network connectedness analysis, frequency-domain decomposition, and dynamic factor modeling. We find that West Coast cities are persistent net transmitters of both return and volatility spillovers to East Coast receivers. Long-run housing price appreciation, rather than geographic supply constraints alone, is the dominant structural predictor of transmitter status, explaining two-thirds of cross-city variation; cities with more elastic supply transmit even more conditional on appreciation. Block-bootstrap inference confirms these roles statistically, and a 50-metro Freddie Mac HPI replication establishes robustness. Idiosyncratic risk dominates outside crisis periods, limiting diversification benefits relative to equity markets. Connectedness and factor-based indicators augment yield curve spreads in forecasting recessions, supporting targeted macroprudential surveillance of high-appreciation transmitter markets.