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Paper eres2010_295:
WOULD SOME MODEL PLEASE GIVE ME SOME HINTS? AN EMPIRICAL INVESTIGATION ON MONETARY POLICY AND ASSET RETURN DYNAMICS

id eres2010_295
authors Leung, Charles; Chang, Kuang Liang; Chen, Nan-Kuang
year 2010
title WOULD SOME MODEL PLEASE GIVE ME SOME HINTS? AN EMPIRICAL INVESTIGATION ON MONETARY POLICY AND ASSET RETURN DYNAMICS
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary This paper empirically investigates the forecasting performances for the housing and stock returns of a series of SVAR models, including various combinations of the federal funds rate, term spread, external finance premium, TED spread, and GDP. Using US data 1975Q2-2008Q3, we find that, for both the in-sample-fitting and out-of-sample forecasting, the single-regime version always underperforms the regime-switching counterpart. The term spread and TED spread outperform other variables in predicting the stock returns. We also find preliminary evidence that the housing return may help predicting the stock return since 2006. None of the models we examine predict the 2008 downfall of housing returns.
keywords monetary policy, term spread, stock prices, house prices, Markov Regime Switching, forecasting
series ERES:conference
email kycleung@cityu.edu.hk
more http://www.eres2010.org/index.asp?page=papers_download
content file.pdf (1,102,587 bytes)
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ratings
session Macroeconomic Perspectives on the Real Estate Market (1)
last changed 2010/08/04 20:47
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