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
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DOI：
10.3846/1648715x.2016.1191557
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发表时间：
2016-01-01
影响因子：
2.7
通讯作者：
Chen, Sheng-Hung
中科院分区：
文献类型：
--
作者：
Liu, Hsiang-Hsi;Chen, Sheng-Hung
本文探讨近年来台湾房价和股市价格的大幅上涨与利率之间的相互作用。房价的变化影响银行的不良贷款，而利率的变化直接影响个人和企业支付贷款利息的能力，从而加剧了房价和股市价格之间的联动。本文利用台湾1985年1月至2009年3月的月度数据，研究了房价、利率和股票市场价格之间的非线性关系和波动溢出效应。通过拟合优度检验发现，平滑转换向量误差修正GARCH（STVEC-GARCH）模型具有最好的预测能力，同时三个变量之间存在非线性的协整关系。具体而言，当利率由房价或股市收益率引导时，房价引导股市收益率。股票市场收益率的波动对利率有显著的影响，这意味着借款人应该意识到股票市场的波动，从而加强对意外变化的风险管理。
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 and businesses to pay loan interest, accentuating the co-movements between house and stock market prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes.