Uncovering the interrelationship between the U.S. stock and housing markets: a bootstrap rolling window Granger causality approach

Chang, Tsangyao; Tsai, Su-Ling; Haga, Kai-yin Allison

doi:10.1080/00036846.2017.1346365

Cited by 8 publications

(4 citation statements)

References 20 publications

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“…The events like strikes, political unrest, wars and the famine of adverse environmental conditions call for structural changes in the economy; the rolling cointegration is best suited to cater to this problem well. The rolling cointegration test is also used to explain ERs (Kutan and Zhou, 2003), HPs and stock prices (Chang et al , 2017). We propose to use the rolling window because of the advantages of varying causality of the variables and it allows for the structural adjustments over time.…”

Section: Methodological Frameworkmentioning

confidence: 99%

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Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Ahmed

Jawaid

2022

IJHMA

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Purpose The study is intended to find out the relationship between housing prices and the inflow of foreign capital in Pakistan. There is a shortage of housing units due to rising population and rural–urban migration since its inception; on the other hand, there is also a lack of housing finances. The urban sprawl has created the demand for housing units, but the supply of housing has not been increased up to the required level, the major reason is a deficiency of housing finances. Design/methodology/approach The analysis was carried out from 1973 to 2018, on an annual, quarterly and monthly basis; the structural changes are captured by the Zivot–Andrews unit root test. Gregory–Hansen test is used for cointegration, the combined cointegration also validates the results. In addition, the rolling window is used to capture timely changes between data sets. Finally, wavelet analysis is used to prove volatility. Findings The rising prices of housing in the country is alarming; Pakistan is a developing country, and it is facing many problems along with a housing shortage. The domestic sources of housing finances are inadequate, so foreign funds are welcomed. The rolling window regression proves that domestic factors along with the foreign capital inflow affect housing prices positively, and the wavelet analysis finds out that foreign direct investment is more volatile than workers’ remittances in financing the housing market. Originality/value This is a pioneering study to find out the impact of foreign capital inflows on the housing prices in the economy of Pakistan. The inadequacy of housing finances from domestic sources attracted foreign funds financing this sector. This study has used new techniques like rolling window and wavelet transformation, such techniques have not been used before.

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Section: Methodological Frameworkmentioning

confidence: 99%

“…We propose to use the rolling window because of the advantages of varying causality of the variables and it allows for the structural adjustments over time. Besides, the structural changes produce dissimilarity in subsamples, the rolling window is suitable to account for such changes (Chang et al , 2017).…”

Section: Methodological Frameworkmentioning

confidence: 99%

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Ahmed

Jawaid

2022

IJHMA

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“…The absence of any co-integration between oil and non-energy commodities may be a result of structural breaks that may be present in their returns (Chang et al 2017 ). We therefore conducted a structural breaks test for individual time series for commodity returns based on Bai and Perron's ( 2006 ) methodology, which can detect multiple breaks.…”

Section: Resultsmentioning

confidence: 99%

High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods

Marobhe

Kansheba

2023

SN Bus Econ

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In this article, we scrutinize volatility spillover between oil and individual non-energy commodities during crisis and non-crisis periods. We use high-frequency data to capture the effects of both the global financial crisis (2008) and the COVID-19 pandemic between 2008 and 2022. To this end, we utilize wavelet coherence analysis to diagnose the magnitudes of dynamic co-movements and lead-lag effects between commodities. Our results provide evidence of strong coherence between oil and the majority of individual non-energy commodities during both crises. Precious metals were generally found to exhibit heightened levels of co-movement with oil as opposed to other non-energy commodities. On the other hand, weak co-movements were found between oil and a few commodities, namely soy, wheat, zinc, and tin. The lead-lag effects of oil on agricultural commodities, base metals, and precious metals were evident, especially during crisis periods. However, aluminium and precious metals, especially gold, silver, and palladium, also had a lead-lag effect on oil at different points in time, including during the pandemic. We further utilize dynamic frequency-domain connectedness for capturing pairwise volatility spillover indices, with the results providing evidence of heightened volatility spillovers during turbulent times. Our findings have significant implications for retail investors, portfolio managers, and policymakers.

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“…Among many goals, each country aims to increase flows of export. According to export lead growth (ELG) theory, export is key factors of economic growth (Yang & Wu, 2015;Ali & Li, 2018;Abosedra & Tang, 2019, etc.). However, proponents of the import lead growth (ILG) theory (Awokuse, 2008;Mahadevan & Suardi, 2008;Palley, 2011, etc.…”

Section: Analysis Of the International Trade And Logistics Performanc...mentioning

confidence: 99%

Logistics and international trade development relationship: evidence of European Union member states

Mačiulytė-Šniukienė

Burinskienė

2020

11th International Scientific Conference “Business and Management 2020”

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International trade (IT) is recognised as one of the driving forces for business and the growth of countries’ economic. The amount of IT flows is contributed by the “logistics revolution”. According to the conceptual approach, the development of transportation modes, logistics infrastructure may facilitate in-ternational trade. However, it remains unclear whether logistic performance changes contribute to IT flows since the number of researches that examine the effect of logistic performance on IT is limited. So, this paper aims to determine whether the flows of IT are contingent on logistics performance. The research re-lies on panel data of 28 European Union (EU) Member States (MS) over 2007–2016. The results of our investigation confirmed that the changes of logistics performance positively related to IT flow of EU MS, but this impact differs across countries.

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Uncovering the interrelationship between the U.S. stock and housing markets: a bootstrap rolling window Granger causality approach

Cited by 8 publications

References 20 publications

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods

Logistics and international trade development relationship: evidence of European Union member states

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