Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices

Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices

This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals...

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Bibliographic Details
Main Authors: Hsiang-Hsi Liu, Sheng-Hung Chen
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2016-12-01
Series:International Journal of Strategic Property Management
Subjects:
Nonlinear relationship
Smooth Transition Vector Error Correction GARCH Model (STVEC-GARCH)
Volatility spillovers
House prices
Interest rates
Stock market returns
Online Access:https://journals.vgtu.lt/index.php/IJSPM/article/view/2097

Internet

https://journals.vgtu.lt/index.php/IJSPM/article/view/2097

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