Losing Track of the Asset Markets : The Case of Housing and Stock

Material type: 文書・図像類

Author: Chang, Kuang-Liangほか

Publisher: The Institute of Social and Economic Research, Osaka University

Publication date: 2015-04

Material Format: Paper

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Note (General)：: This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize com...

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Paper

Material Type: 文書・図像類
Title: Losing Track of the Asset Markets : The Case of Housing and Stock
Author/Editor: Chang, Kuang-Liang
Leung, Charles Ka Yui
Chen, Nan-Kuang
Author Heading: Chang, Kuang-Liang
Leung, Charles Ka Yui
Chen, Nan-Kuang
Publication, Distribution, etc.: The Institute of Social and Economic Research, Osaka University
Publication Date: 2015-04
Publication Date (W3CDTF): 2015-04
Periodical title: Institute of Social and Economic Research Discussion Papers
No. or year of volume/issue: 932
Volume: 932
Pages: 1-42
Text Language Code: eng
Subject Heading: monetary policy
financial market variables
Uni-variate Single-regime Benchmark
Markov Regime Switching
forecasting
Target Audience: 一般
Note (General): This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different “Equivalence Predictive Power Classes” (EPPC). During the pre-crisis period (1975-2005), some models that emphasize imperfect capital markets outperform an AR(1) for the forecast of housing returns. After 2006, a model that includes both an external finance premium (EFP) and the TED spread “learns and adjusts” faster than competing models. Models that encompass GDP experience a significant decay in predictive power. We also demonstrate that a simulation-based approach is complementary to the EPPC methodology.
References (URI): http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0932.pdf
URI
http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0932.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華