Proceedings of the 2018 5th International Conference on Management Science and Management Innovation (MSMI 2018)

House Price Shocks, Stock Returns, and Policy Uncertainty: An Empirical Analysis Based on SVAR Models

Authors
Yi-Xuan LIN, Xuan WEI, Chi-Chuan LEE
Corresponding Author
Yi-Xuan LIN
Available Online April 2018.
DOI
https://doi.org/10.2991/msmi-18.2018.15How to use a DOI?
Keywords
House price, Stock price, Economic policy uncertainty, SVAR model.
Abstract

This paper investigates the dynamic relationship among house price shocks, stock returns, and economic policy uncertainty (EPU) using a Structural VAR framework for a data sample of China over the period 1997-2016. The conclusions drawn are as follows. (1) An increase in EPU decreases house prices. A rise in house prices decreases EPU, while a rise in house supply increases EPU. (2) An increase in EPU decreases stock prices in the short term, while a rise in stock prices decreases EPU. (3) The interaction between stock prices and house prices is statistically insignificant. On the basis of the findings, relevant suggestions are put forward.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 5th International Conference on Management Science and Management Innovation (MSMI 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
April 2018
ISBN
978-94-6252-527-6
ISSN
2352-5428
DOI
https://doi.org/10.2991/msmi-18.2018.15How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yi-Xuan LIN
AU  - Xuan WEI
AU  - Chi-Chuan LEE
PY  - 2018/04
DA  - 2018/04
TI  - House Price Shocks, Stock Returns, and Policy Uncertainty: An Empirical Analysis Based on SVAR Models
BT  - Proceedings of the 2018 5th International Conference on Management Science and Management Innovation (MSMI 2018)
PB  - Atlantis Press
SP  - 81
EP  - 86
SN  - 2352-5428
UR  - https://doi.org/10.2991/msmi-18.2018.15
DO  - https://doi.org/10.2991/msmi-18.2018.15
ID  - LIN2018/04
ER  -