Naslov
Are there nonlinearities in the interaction of equity and real estate markets?

Autori
Posedel, Petra ; Tkalec, Marina ; Vizek, Maruška

Izvornik
The Empirical Economics Letters (1681-8997) 13 (2014), 10; 333-351

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
real estate prices ; equity prices ; regime switching ; threshold autoregression (TAR) model

Sažetak
The article examines interactions of equity and real estate markets, using nonlinear techniques that are more flexible as opposed to majority of existing studies that assume only linearity in the interaction. Our empirical findings based on nonlinear threshold autoregression models argue in favour of the nonlinear interaction in 20 out of 21 countries explored. We find evidence of strong wealth effects and somewhat more moderate credit-price effects. We detect that the interaction is responsive to specific regimes of the explanatory variable, especially for the stock market where the reaction to large and negative real estate returns changes is much stronger.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA