Naslov
Regime switching behaviour of real estate and equity prices in emerging countries

Autori
Njavro, Mate ; Posedel, Petra ; Vizek, Maruška

Izvornik
Prague Economic Papers (1210-0455) 25 (2016), 4; 396-410

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

Ključne riječi
real estate prices ; equity prices ; regime switching ; TAR model ; emerging economies

Sažetak
The aim of this paper is to examine the interaction patterns between equity and real estate returns in 8 emerging economies from central and south-eastern Europe. For that purpose we apply the TAR model entailing two regimes and endogenously determined threshold, delay parameter, and lag length. The results suggest that in all the countries, the interaction between equity and real estate returns is subject to regime switching in at least one direction. Equity returns in general seem to be much more sensitive to real estate returns changes, while the reaction of real estate returns to changes in equity returns is not always present and it is much more subdued and delayed. In the majority of the countries, the value of the threshold is large and negative suggesting that equity returns (real estate returns) react differently to large negative changes of real estate returns (equity returns) when compared to changes of different magnitudes and alternative signs. Equity returns react more strongly to large negative changes of the real estate returns than to small negative or positive real estate returns changes, while the reaction of the real estate returns to the equity returns changes varies across countries, making neither regime more prevalent.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

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