The relationship between stock and real estate prices in Turkey: Evidence around the global financial crisis

Artikel

Research on the relationship between stock and real estate prices focuses on two transmission mechanisms, namely the wealth and credit-price effects. This paper uses the 2007 global financial crisis as a natural experiment and examines whether the relationship between real estate prices and stock prices has changed after the outbreak of the crisis by using data from the Turkish market. The results based on a threshold cointegration framework indicate that while both effects exist during the pre-crisis period, only a credit-price effect is observed during the crisis period. Moreover, the findings are sensitive to whether or not one allows for asymmetric error correction.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Central Bank Review (CBR) ; ISSN: 1303-0701 ; Volume: 16 ; Year: 2016 ; Issue: 1 ; Pages: 33-40 ; Amsterdam: Elsevier

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Markets and the Macroeconomy ; Portfolio Choice; Investment Decisions
• Thema: Credit-price effect ; Wealth effect ; Threshold error-correction model ; Causality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Yuksel, Asli
• Ereignis: Veröffentlichung
• (wer): Elsevier
• (wo): Amsterdam
• (wann): 2016

Weitere Informationen

• DOI: doi:10.1016/j.cbrev.2016.03.006
• Handle: http://hdl.handle.net/10419/217287
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ