政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119872

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119872

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113822/144841 (79%)
Visitors : 51783584 Online Users : 566

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/119872

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/119872

Title:	股市與房價期限結構關係之研究 Term Structure Relation Between Stock Market and House Price
Authors:	簡仕承 Chine, Shih-Cheng
Contributors:	郭維裕 Kuo, Wei-Yu 簡仕承 Chine, Shih-Cheng
Keywords:	單根共整合向量自我迴歸向量誤差修正模型 Unit root Cointegration Vector autoregression Vector error correction model
Date:	2018
Issue Date:	2018-09-03 15:46:47 (UTC+8)
Abstract:	本研究考察了美國三大宏觀經濟變量、股票指數以及標準普爾500股票市場的股息收益率之間的關係。本文所分析的總體經濟變量是國債、國庫券和 Case-Shiller 房價指數，從1990年4月到2016年12月進行月度觀察。本文采用的方法包含幾種著名的統計方法，如協整檢驗，向量自我迴歸和向量誤差修正模型。在過去幾次經濟研究中，結果支持了總體經濟變量與股票市場指數之間長期均衡關係的存在。基於過去的研究基礎上，本研究將住房價格作為解釋變量，試圖加強實證結果。 This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor`s Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result.
Reference:	Baum, A. and Moss, A. (2013), Are listed real estate stocks managed as part of the real estate allocation? EPRA. Brown S. and Dybvig, P. (1986), The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates, The Journal of Finance, No 3, 617-630. Campbell, J. and Shiller, R., Yield (1991), Spreads and Interest Rate Movements: A Bird`s Eye View, Review of Economic Studies, vol. 58, issue 3, 495-514. Campbell, J. and Viceira, L., The Term Structure of the Risk-Return Tradeoff, Financial Analysts Journal 61, 34-44. Chong, J., Miffre, J. and Stevenson, S. (2009). Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15, 173–184. Culbertson, J. (1957), The Term Structure of Interest Rates, Quarterly Journal of Economics, 71, 485-517. Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, vol. 55, issue 2, 251-76. Fama, E.F. (1984), The Information in the Term Structure, Journal of Financial Economics, vol. 13, issue 4, 509-528. Granger, C. (1986), Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, vol. 48, issue 3, 213-28. Hardouvelis, G. (1994), The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? Journal of Monetary Economics, vol. 33, issue 2, 255-283. Hudson-Wilson, S., Fabozzi F.J., and Gordon, J.(2003), Why Real Estate? The Journal of Portfolio Management, Special Real Estate Issue. Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 231-254. Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration— With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, vol. 52, issue 2, 169-210. Koch, P. and Rasche, R. (1988), An Examination of the Commerce Department Leading-Indicator Approach, Journal of Business & Economic Statistics, vol. 6, issue 2, 167-87. McCarthy, J. and Peach, R. (2004), Are home prices the next bubble? FRBNY Economic Policy Review, December, 1-17. Mishkin, F. (1988), The Information in the Term Structure: Some Further Results, NBER, Working Paper, No. 2575. Nelson, C.R., Plosser, C.I. (1982), Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162. Perron, P. (1988), Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, vol. 12, issue 2-3, 297-332. Poon, S. and Taylor, S.J. (1991), Macroeconomic Factors and the UK Stock Market, Journal of Business and Accounting, Vol. 18, No. 5, pp. 619-636.
Description:	碩士國立政治大學國際經營與貿易學系 105351040
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0105351040
Data Type:	thesis
DOI:	10.6814/THE.NCCU.IB.034.2018.F06
Appears in Collections:	[Department of International Business] Theses

Files in This Item:

File	Size	Format
104001.pdf	622Kb	Adobe PDF2	5	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback