Narrow search
Showing 1 - 10 of 69,753
Cover Image
Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market
Akinsomi, Kola; Aye, Goodness C.; Babalos, Vassilios; … - Department of Economics, Faculty of Economic and … - 2014
In this paper we examine the real estate returns predictability employing US REITs and a set of possible predictors for the period January 1991 to September 2013. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter...
Persistent link: https://www.econbiz.de/10011206177
Cover Image
Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model
Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - In: Economic Modelling 32 (2013) C, pp. 161-171
This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle. The results...
Persistent link: https://www.econbiz.de/10010664390
Cover Image
Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode
Kengne, Beatrice D. Simo -; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2012
This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) in which parameters change according to the phase of the housing cycle. The results suggest...
Persistent link: https://www.econbiz.de/10010582201
Cover Image
IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL
Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012
This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) models in which parameters change according to the phase of the housing cycle. The results...
Persistent link: https://www.econbiz.de/10010603882
Cover Image
Nonlinear Dependence between Stock and Real Estate Markets in China
Chong, Terence Tai Leung; Ding, Haoyuan; Park, Sung Y - Volkswirtschaftliche Fakultät, … - 2014
The causality between the real estate and stock markets of China remains a mystery in the literature. This paper … conditional quantiles. The results of the quantile causality test suggest a significant causal relationship between these two …
Persistent link: https://www.econbiz.de/10011109714
Cover Image
Nonlinear dependence between stock and real estate markets in China
Ding, Haoyuan; Chong, Terence Tai-leung; Park, Sung Y. - In: Economics Letters 124 (2014) 3, pp. 526-529
The causality between the real estate and stock markets of China remains a mystery in the literature. This paper … conditional quantiles. The results of the quantile causality test suggest a significant causal relationship between these two …
Persistent link: https://www.econbiz.de/10010930702
Cover Image
Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011
series. Thus, in this study, both linear and nonparametric cointegration and Granger Causality tests were conducted utilizing … between house and stock prices. At the same time, the linear Granger causality test produced no evidence of causality running …-run one-to-one relationship between the two series, with the nonparametric Granger causality test, in addition, indicating a …
Persistent link: https://www.econbiz.de/10009401049
Cover Image
Domestic and Global Uncertainty: A Survey and Some New Results
Castelnuovo, Efrem - 2019
This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...
Persistent link: https://www.econbiz.de/10012141101
Cover Image
Domestic and global uncertainty : a survey and some new results
Castelnuovo, Efrem - 2019
This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...
Persistent link: https://www.econbiz.de/10012119543
Cover Image
Uncertainty Shocks and Unemployment Dynamics: An Analysis of Post-WWII U.S. Recessions
Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas - Dipartimento di Scienze Economiche "Marco Fanno", … - 2013
We investigate the effects of uncertainty shocks on unemployment dynamics in the post-WWII U.S. recessions via non-linear (Smooth-Transition) VARs. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of i) magnitude of the reaction...
Persistent link: https://www.econbiz.de/10011156749