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

DOI

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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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  - 10.2991/msmi-18.2018.15
ID  - LIN2018/04
ER  -