Term Structure Relation Between Stock Market and House Price

• Main Authors: Chine, Shih-Cheng, 簡仕承
• Other Authors: Kuo, Wei-Yu
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/43487k

碩士 === 國立政治大學 === 國際經營與貿易學系 === 106 === This study examines the relationship between three US macroeconomic variables, stock index and the dividend yield of S&P 500 Stock Market. The macroeconomic variables analyzed are Treasury Bond, Treasury Bill and Standard & Poor's Case–Shiller Nominal Home Price Index, with monthly observations from April 1990 through December 2016. The approaches applied in this thesis contained several famous statistical methodologies, such as cointegration test, vector autoregression, and vector error correction model. In several past economic researches, the results support the existence of long-run equilibrium relationships between the macroeconomic variables and the stock market index. On the basis of past researches, the study here add housing price as a explaining variable, trying to strengthen the empirical result.