کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055618 1371496 2011 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests
چکیده انگلیسی

Using the non-parametric rank tests proposed by Breitung (2001), we set out in this study to determine whether any non-linear long-run equilibrium relationship exists between the stock and real estate markets of Western European countries. We go on to adopt the threshold error-correction model (TECM) to determine whether a similar relationship is discernible possibly non-linear functions of the log-price of these two markets. 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 Western European countries, which thereby offer financial institutions and individual investors in their construction of long-term investment portfolios within these two asset markets.

Research Highlights► This study to determine whether any non-linear long-run equilibrium relationship exists between the stock and real estate markets of Western European countries. ► 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. ► The existence of both wealth and credit price effects in the real estate markets and stock markets of Western European countries, which offers financial institutions and individual investors in their construction of long-term investment portfolios within these two asset markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 28, Issue 3, May 2011, Pages 845-851
نویسندگان
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