House Price Shocks, Stock Returns, and Policy Uncertainty: An Empirical Analysis Based on SVAR Models
- https://doi.org/10.2991/msmi-18.2018.15How to use a DOI?
- House price, Stock price, Economic policy uncertainty, SVAR model.
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.
- © 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 -