Hongtao Zhou with Z.liu: Quantile Vector Autoregression and its Application in China’s Housing Market-山东大学经济研究院
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Hongtao Zhou with Z.liu: Quantile Vector Autoregression and its Application in China’s Housing Market
Updat:Dec 26, 2013   Author:admin   Click:[]

Abstract:

This paper utilizes a Quantile Vector Autoregression framework to implement an investigation on the dynamic correlations between Chinese stock market and housing markets. In particular, we want to find out whether and how the housing market, as partial reflection of the overall economic status, affects the stock market. With a new analytical tool, the Quantile Vector Autoregression, we figure out that the higher quantiles of the housing market returns have a significant impact on the future lower quantiles of the stock market returns which verifies the conjecture that housing booms presage stock market collapse.

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