期刊論文
| 學年 | 99 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2011-01-01 |
| 作品名稱 | A Non-linear Model of Causality between the Stock and Real Estate Markets of European Countries |
| 作品名稱（其他語言） | |
| 著者 | Su, Chi-wei; Chang, Hsu-ling; Zhu, Meng-nan |
| 單位 | 淡江大學國際貿易學系暨國際企業研究所 |
| 出版者 | The Institute for Economic Forecasting |
| 著錄名稱、卷期、頁數 | Romanian Journal of Economic Forecasting 14(1), pp.41-53 |
| 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. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 1582-6163 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | ROU |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54915 ) |