Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices

doi:10.3846/1648715X.2016.1191557

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Periodical Articles > Item 987654321/29097

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/29097

Title:	Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices
Authors:	陳昇鴻;Chen, Sheng-Hung
Contributors:	財務金融學系
Keywords:	Nonlinear relationship;Smooth Transition Vector Error Correction GARCH Model (STVEC-GARCH);Volatility spillovers;House prices;Interest rates;Stock market returns
Date:	2016
Issue Date:	2022-08-31 14:22:14 (UTC+8)
Abstract:	This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals and businesses to pay loan interest, accentuating the co-movements between house and stock market prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes.
Relation:	International Journal of Strategic Property Management vol. 20, no. 4 pp.371-383
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Periodical Articles

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