| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士班 === 103 === In recent years, BRICS countries have become an important force in the global economy, and also attracted the attention of global investors and funds. This study aims to investigate, based on vector error correction model (VECM), the dynamic relationship among the real estate market, the stock market and macroeconomic factors in BRICS countries during the period 2005-2014. We add a dummy variable for considering the impact of global financial crisis on the real estate market of the BRICS. The main results are the following : First, among all the variables BRICS countries have cointegrated relationship, these countries represent real estate price, stock prices and the macroeconomic variables have a long-term equilibrium for automatic adjustment. Moreover, the financial crisis dummy variable also significantly affect the real estate market for Brazil, China and South Africa. Second, in addition to Russia, the short-term lead-lag dynamics among the real estate market, stock market and macroeconomic factors are found. Finally, according to the results of variance decomposition and impulse response analysis, the real estate market is still most affected by itself in short-term, and also affected by the macroeconomic variables in long-term. The central bank of BRICS can intervene the real estate price by the interest rate policy, and the effect of exchange rate depreciation on real estate prices increase must be noticed in India.
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