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On the Dynamic Relations Among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan - Simultaneous Equations Model and Vector Autoregression Model
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
On the Dynamic Relations Among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan - Simultaneous Equations Model and Vector Autoregression Model
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| Creator |
Long-Chie Chen
Wen Hsiung Lee |
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| Description |
In this study we apply Simultaneous Equations Model and Vector Autoregression Model to examine the dynamic relations among stock prices, interest rat e and housing prices in Taiwan from January 1985 to October 1997. In general, the results support the positive relations between stock prices and housing prices, the negative relations between interest rate and stock prices and the positive relations between interest rate and housing prices, when the interest rate go up, then the stock prices slow down, but the housing prices still maintain go up over one year, we split the period of time to three parts, reach the same conclusions through Forcast Error Pecomposition, the stock prices have high explanation of interest rate and housing price, but housing price canft explain the stock price, that is, if the housing prices go up and then stock prices go up, but stock prices go up canft induce the housing prices go up, the Last, interest rate and stock prices are leading time factors of housing prices. Key words: Housing price, stock price, Interest rate, simultaneous equations model vector Autoregression model |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-09-12
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| Type |
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011277
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| Source |
Journal of Financial Studies; Vol 5, No 4 (1998); 51
財務金èžå¸åˆŠ; Vol 5, No 4 (1998); 51 |
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| Language |
—
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