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Bank credit and housing prices in China: Evidence from a TVP-VAR Model with stochastic volatility

He, Xie; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-16

Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China's housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic...

Persistent link: https://www.econbiz.de/10012611040

Modeling the dependence structure of share prices among three Chinese city banks

Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18

We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods: one...

Persistent link: https://www.econbiz.de/10012611072

Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314

Persistent link: https://www.econbiz.de/10011476020

What determines the long-term correlation between oil prices and exchange rates?

Yang, Lu; Cai, Xiao Jing; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 44 (2018), pp. 140-152

Persistent link: https://www.econbiz.de/10012036525

Dynamic correlation and equicorrelation analysis of global financial turmoil : evidence from emerging East Asian stock markets

Cai, Xiao Jing; Tian, Shuairu; Hamori, Shigeyuki - In: Applied economics 48 (2016) 40/42, pp. 3789-3803

Persistent link: https://www.econbiz.de/10011628092

Interdependence of foreign exchange markets : a wavelet coherence analysis

Yang, Lu; Cai, Xiao Jing; Zhang, Huimin; Hamori, Shigeyuki - In: Economic modelling 55 (2016), pp. 6-14

Persistent link: https://www.econbiz.de/10011642425

Co-movements in commodity markets andimplications in diversification benefits

Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425

Persistent link: https://www.econbiz.de/10012219019

Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? : a wavelet coherence analysis

Yang, Lu; Cai, Xiao Jing; Hamori, Shigeyuki - In: International review of economics & finance : IREF 49 (2017), pp. 536-547

Persistent link: https://www.econbiz.de/10011748693

Interdependence between oil and East Asian stock markets : evidence from wavelet coherence analysis

Cai, Xiao Jing; Tian, Shuairu; Yuan, Nannan; Hamori, … - In: Journal of international financial markets, … 48 (2017), pp. 206-223

Persistent link: https://www.econbiz.de/10011892354

Bank credit and housing prices in China : evidence from a TVP-VAR Model with stochastic volatility

He, Xie; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-16

Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China’s housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic...

Persistent link: https://www.econbiz.de/10011960388