کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083213 1477794 2017 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
چکیده انگلیسی
We use a nonparametric causality-in-quantiles test to compare the predictive ability of the consumption-wealth ratio (cay) and the Markov Switching version (cayMS) for excess and real stock and housing returns and their volatility. Our results reveal strong evidence of nonlinearity and regime changes in the relationship between asset returns and cay or cayMS, which corroborates the relevance of this econometric framework. Moreover, both cay or cayMS are found to predict only excess stock returns over its entire conditional distribution, with the latter being a strong predictor only at certain quantiles. As for the housing market, these two consumption-wealth ratios only predict the volatility of real housing returns, with cayMS outperforming cay over the majority of the conditional distribution.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 48, March 2017, Pages 269-279
نویسندگان
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