A Non-linear Model of Causality between the Stock and Real Estate Markets of European Countries

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/54915

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題名:	A Non-linear Model of Causality between the Stock and Real Estate Markets of European Countries
作者:	Su, Chi-wei;Chang, Hsu-ling;Zhu, Meng-nan
貢獻者:	淡江大學國際貿易學系暨國際企業研究所
關鍵詞:	causality;threshold model;threshold error-correction model;TECM;wealth effect;credit price effect
日期:	2011-01
上傳時間:	2011-07-28 00:55:11 (UTC+8)
出版者:	The Institute for Economic Forecasting
摘要:	Using the threshold auto-regressive (TAR) model, we set out in this study to determine whether any long-run equilibrium relationship exists between the stock and real estate markets of the European countries, with our empirical results revealing that such a long-term relationship does indeed exist under a specific threshold value. We go on to adopt the threshold error-correction model (TECM) to determine whether a similar relationship is discernible between two specific variables and any non-linear forms. The findings clearly point to the existence of long-run unidirectional and bidirectional causality between the real estate market and the stock market in regions both above and below the threshold level. Finally, we find the existence of both wealth and credit price effects in the real estate markets and stock markets of European countries, again both above and below the threshold value, which thereby offers a better interpretation of the meaning of the macroeconomic factors.
關聯:	Romanian Journal of Economic Forecasting 14(1), pp.41-53
DOI:	無
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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