政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/147234

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/147234

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113648/144635 (79%)
造訪人次 : 51671720 線上人數 : 554

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

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 社會科學學院 > 應用經濟與社會發展英語碩士學位學程 (IMES) > 學位論文 > Item 140.119/147234

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/147234

題名:	黃金、房地產、比特幣與其他總體經濟因素間關係之研究 The Relation of Gold, Real Estate, Bitcoin, and other Macroeconomic Variables
作者:	勞思恩 Lao, Grace Szu-En
貢獻者:	林左裕 Lin, Tsoyu Calvin 勞思恩 Grace Szu-En Lao
關鍵詞:	共整合投資組合管理黃金房地產市場比特幣總體經濟因素 Cointegration Portfolio Management Gold Real Estate Market Bitcoin Macroeconomic Indices
日期:	2023
上傳時間:	2023-09-01 16:12:42 (UTC+8)
摘要:	許多研究致力於探討股票、房地產、黃金和總體經濟因素之間的關係。本研究利用經典的共整合測試和模型，包括 Johansen 共整合測試、Granger 因果關係測試、向量誤差修正模型以及預測誤差脈衝響應函數，試圖填補文獻中的空白，引入比特幣作為研究對象。本研究對黃金、房地產、比特幣、股票和總體經濟因素的月度數據進行了多個共整合測試的分析。結果顯示，比特幣在長期中對黃金和房價指數具有單向領先效應，並且房價指數對黃金也具有單向領先效應。預測誤差脈衝響應顯示，黃金和房價指數的震盪對比特幣具有積極影響。 Many studies have been dedicated to examining the relationships between stocks, real estate, gold and macroeconomic variables. By utilizing classic cointegration tests and models, including the Johansen Cointegration test, Granger-Causality test, Vector Error Correction Models, and Forecast Error Impulse Response Function for analysis, this study attempts to fill in the gap in literature by introducing Bitcoin to the mix. Monthly data on gold, real estate, Bitcoin, stock, and macroeconomic variables undergo analysis in multiple cointegration tests. Results suggest that Bitcoin has a unidirectional leading effect from both gold and house prices in the longrun and a unidirectional leading effect from house prices to gold. The forecast error impulse response shows that shocks from both gold and house prices are found to have positive impacts on BTC.
參考文獻:	References Aiello D., Balyuk T., Maggio M. D., Johnson M. J., Baker S. R., Kotter J. D. (2023) The Effects of Cryptocurrency Wealth on Household Consumption and Investment. Available at http://dx.doi.org/10.2139/ssrn.4455756 Apergis N., Lamprinidis L. (2011) More Evidence on the Relationship between the Stock and the Real Estate Market. University of Piraes Aye G. C., Chang T., Gupta R. (2016) Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. Resources Policy, Volume 48, Pages 77-84, ISSN 0301-4207 Bhuiyan E. M., Chowdhury M. (2020) Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada, The Quarterly Review of Economics and Finance, Volume 77, Pages 62-74, ISSN 1062-9769 Blau B. M., Griffith T. G., Whitby R. J. (2021) Inflation and Bitcoin: A descriptive time-series analysis, Economics Letters, Volume 203, 109848, ISSN 0165-1765 Bouri E., Azzi G., Dyhrberg A. H. (2017) "On the return-volatility relationship in the Bitcoin market around the price crash of 2013" Economics, vol. 11, no. 1, pp. 2. https://doi.org/10.5018/economics-ejournal.ja.2017-2 Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L. I. (2017) “On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198. ISSN 1544-6123 Carroll C. D., Otsuka M., Slacalek J. (2010) How Large Are Housing and Financial Wealth Effects? A New Approach. Journal of Money, Credit and Banking. 43. 55-79. 10.2307/20870039 Case K. E., Quigley J. M., Shiller R. J. (2006) "Comparing Wealth Effects: The Stock Market versus the Housing Market," Advances in Macroeconomics, Berkeley Electronic Press, vol. 5(1), pages 1235-1235 Case K. E., Quigley J. M., Shiller R. J. (2011) Wealth Effects Revisited 1978-2009. Cowles Foundation Discussion Paper No. 1784, http://dx.doi.org/10.2139/ssrn.1766604 37 Chodorow-Reich G., Nenov P. T., Simsek, A. (2021) "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," American Economic Review, American Economic Association, vol. 111(5), pages 1613-1657 Choi S., Shin J. (2022) Bitcoin: An inflation hedge but not a safe haven. Finance Research Letters, Volume 46, Part B, 102379, ISSN 1544-6123 Corbet, S., Larkin, C., Lucey, B., Meegan, A. and Yarovaya, L. (2018) “Exploring the dynamic relationships between cryptocurrencies and other financial assets”, Economics Letters, Vol. 165 No. 1, pp. 28-34 David A. Dickey, Wayne A. Fuller (1979) Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431 Demary M., Voigtländer M. (2009) The Inflation Hedging Properties of Real Estate: A Comparison between Direct Investments and Equity Returns. Research Center for Real Estate Economics Engle R. F., Granger C. W. J. (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, Vol. 55, No. 2 (Mar., 1987), pp. 251-276 Gan C., Lee M., Yong H., Zhang J. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, Volume 3, Pages 89-101 Ghosh D., Levin E. J., Macmillan P., Wright R. E. (2004) Gold as an Inflation Hedge? Studies in Economics and Finance, ISSN: 1086-7376 Granger, C.W.J. (1969). Investigating causal relations by econometrics models and cross spectral methods. Econometrica 37, 424–43 Humpe A., Macmillan P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics, 19:2, 111-119, DOI: 10.1080/09603100701748956 Ivanov V. and Kilian L. (2001) A practitioner’s guide to lag-order selection for vector autoregressions. CEPR Discussion Papers, 2685 38 Johansen S. (1995) Likelihood−based inference in cointegrated vector autoregressive models. Oxford University Press, Oxford (United Kingdom) Kaponda, K. Bitcoin the ’Digital Gold’ and Its Regulatory Challenges. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3123531 (Accessed June 14th , 2023) Kogan S., Makarov I., Niessner M., Schoar A. (2023) Are Cryptos Different? Evidence from Retail Trading. MIT Sloan Research Paper No. 6831-22, http://dx.doi.org/10.2139/ssrn.4289513 Kristoufek L. (2015) What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. https://doi.org/10.1371/journal.pone.0123923 Lin T. C, Lin Z. H. (2011) Are stock and real estate markets integrated? An empirical study of six Asian economies. Pacific-Basin Finance Journal, Volume 19, Issue 5, Pages 571-585, ISSN 0927-538X Lütkepohl, H. (2007) New introduction to multiple time series analysis (2nd ed.). Berlin: Springer Mohr F. X. (2020) An Introduction to Impulse Response Analysis of VAR Models. REconomics. Accessed June 19, 2023 at https://www.reconometrics.com/timeseries/irf/ Muckenhaupt J., Hoesli M., Zhu B. (2023) Listed Real Estate as an Inflation Hedge across Regimes. Swiss Finance Institute Research Paper No. 23-13. http://dx.doi.org/10.2139/ssrn.4362134 Nakamoto S. (2008) “Bitcoin: a peer-to-peer electronic cash system”, found at: https://bitcoin.org/bitcoin.pdf Nasseh A., Strauss J. (2000) Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance, Volume 40, Issue 2, Pages 229-245, ISSN 1062-9769 Phochanachan P., Pirabun N., Leurcharusmee S., Yamaka W. (2022) Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries. Axioms. 39 11(7):339. https://doi.org/10.3390/axioms11070339 Ratanapakorn O., Sharma S. C. (2007) Dynamic analysis between the US stock returns and the macroeconomic variables, Applied Financial Economics, 17:5, 369- 377, DOI: 10.1080/09603100600638944 Sahu T. (2016) Macroeconomic Variables and Security Prices in India during the Liberalized Period. 10.1057/9781137492012 Shahzad S. J. H., Bouri E., Roubaud D., Kristoufek L., Lucey B. (2019) Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, Volume 63, Pages 322-330, ISSN 1057-5219 Simpson, M.W., Ramchander, S., Webb, J.R. (2007) The Asymmetric Response of Equity REIT Returns to Inflation. J Real Estate Finan Econ 34, 513–529. https://doi.org/10.1007/s11146-007-9023-0 Tarbert H. (1996) Is commercial property a hedge against inflation? A cointegration approach. Journal of Property Finance, Vol. 7 No. 1, Pages 77-98. https://doi.org/10.1108/09588689610111638 Thaker H. M. T., Mand A. A. (2021) Bitcoin and stock markets: a revisit of relationship. Journal of Derivatives and Quantitative Studies: 선물연구 Vol. 29 No. 3, 2021 pp. 234-256. ISSN: 1229-988X TripleA. Global Crypto Ownership Data. Accessed on July 23rd, 2023 at https://triplea.io/crypto-ownership-data/ Tulcanaza-Prieto A. B. (2018) Bitcoin: Its influence on the global World and its relationship with the stock exchange. Chakiñan Revista de Ciencias Sociales y Humanidades (pp.54-72). Universidad Nacional de Chimborazo Virenrehal (2022) Vector Error Correction (VECM) and VAR: Theory. Spureconomics. Accessed June 16, 2023 at https://spureconomics.com/vector-errorcorrection-vecm-theory/ Wang M. L., Wang C. P., Huang T. Y. (2010) Relationships among Oil Price, Gold Price, exchange rate and International Stock Markets. International Research Journal of Finance and Economics, Pages 80-89 40 Wang P, Liu X, Wu S. (2022) Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies. Entropy; 24(11):1565. Yunus N. (2020) Time-varying linkages among gold, stocks, bonds and real estate. The Quarterly Review of Economics and Finance, Volume 77, Pages 165-185, ISSN 1062-9769
描述:	碩士國立政治大學應用經濟與社會發展英語碩士學位學程(IMES) 110266002
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0110266002
資料類型:	thesis
顯示於類別:	[應用經濟與社會發展英語碩士學位學程 (IMES)] 學位論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
index.html	0Kb	HTML2	228	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋