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

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

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
Annual Paris Business and Social Science Research Conference

Mjesto i datum
Pariz, Francuska, 07.08.2014. - 08.08.2014

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

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 are performed assuming only linearity in the interaction. Our empirical findings based on nonlinear threshold autoregression (TAR) 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. Our nonlinear analysis enables us to detect that the interaction of the two asset classes is responsive to specific regimes of the explanatory variable. This is especially true for the stock market where the reaction to large and negative real estate returns changes is much stronger. We also find evidence of a portfolio adjustment mechanism, as in some countries higher stock prices increase the share of stocks in the portfolios that in turn cause portfolio rebalancing manifested in selling stocks and purchasing real estate, while in other countries, it appears as if higher real estate prices cause portfolio rebalancing in favour of stocks.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA