18个经合组织国家住房与股票市场的关系:一个自举面板因果检验

Q2 Economics, Econometrics and Finance
Mohsen Bahmani‐Oskooee, Tsung-Pao Wu
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引用次数: 10

摘要

我们采用自举面板格兰杰因果检验来检验18个经合组织国家1993年第一季度至2015年第四季度期间住房市场和股票市场之间的因果关系,这说明了区域间的依赖性和异质性。研究结果为比利时和日本的信贷价格效应提供了证据。澳大利亚、加拿大、法国、希腊、葡萄牙、韩国、西班牙、瑞典和英国都支持财富效应。在爱尔兰、意大利、荷兰和美国发现了反馈效应,最后,在丹麦、芬兰和德国也发现了中立效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
On The Relation Between Housing and Stock Markets in 18 OECD Countries: A Bootstrap Panel Causality Test
Executive Summary We apply a bootstrap panel Granger causality test to examine the causal relation between the housing market and the stock market across 18 OECD countries for the period from 1993:Q1 to 2015:Q4, which accounts for both dependency and heterogeneity across regions. The results provide evidence for the credit-price effect in Belgium and Japan. The wealth effect is supported in Australia, Canada, France, Greece, Portugal, South Korea, Spain, Sweden, and the United Kingdom. A feedback effect was found in Ireland, Italy, Netherlands, and the United States and finally, the neutrality effect was supported in Denmark, Finland, and Germany.
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来源期刊
Journal of Real Estate Portfolio Management
Journal of Real Estate Portfolio Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
自引率
0.00%
发文量
13
期刊介绍: The Journal of Real Estate Portfolio Management (JREPM) is a publication of the American Real Estate Society (ARES). Its purpose is to disseminate applied research on real estate investment and portfolio management.
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