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

doi:10.3846/1648715X.2016.1191557

南華大學機構典藏系統 > 管理學院 > 財務金融學系(財務管理碩士班) > 期刊論文 > Item 987654321/29097

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題名:	Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices
作者:	陳昇鴻;Chen, Sheng-Hung
貢獻者:	財務金融學系
關鍵詞:	Nonlinear relationship;Smooth Transition Vector Error Correction GARCH Model (STVEC-GARCH);Volatility spillovers;House prices;Interest rates;Stock market returns
日期:	2016
上傳時間:	2022-08-31 14:22:14 (UTC+8)
摘要:	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.
關聯:	International Journal of Strategic Property Management vol. 20, no. 4 pp.371-383
顯示於類別:	[財務金融學系(財務管理碩士班)] 期刊論文

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