教師資料查詢 | 類別: 期刊論文 | 教師: 蘇志偉 Su, Chih-wei (瀏覽個人網頁)

標題:A Non-linear Model of Causality between the Stock and Real Estate Markets of European Countries
學年
學期
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
語言英文
ISSN1582-6163
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別羅馬尼亞
公開徵稿
出版型式,紙本
相關連結
SDGs
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