scholarly journals International Real Estate Review

2020 ◽  
Vol 23 (1) ◽  
pp. 65-106
Author(s):  
Mohsen Bahmani-Oskooee ◽  
◽  
Seyed Ghodsi ◽  
Keyword(s):  
House Prices ◽  
House Price ◽  
Oil Prices ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Using Data ◽  
Almost All ◽  
The Impact ◽  
The U.S

Since oil is used as an input in the production and delivery process, any change in its price can affect almost all sectors of an economy. Researchers have tried to assess the impact of the rising price of oil on domestic production, inflation, investment, the stock market, etc. In order to determine if inflationary effects of rising oil prices have spread to house prices in the U.S., unlike previous research, we investigate the link between oil prices and house prices by using data from each state of the U.S. Furthermore, for the first time, we engage in asymmetry analysis and find short-run asymmetric effects in almost all of the states but short-run cumulative effects or asymmetric impact in 15 states. Although we also find significant long-run asymmetric effects in 26 states, the results reveal that an increase in oil prices has contributed to house price increase in only 11 states and a decrease in oil prices lowered house prices in only three states.

scholarly journals Differing house price linkages across UK regions: A multi-dimensional recursive ripple model

Urban Studies ◽  
2017 ◽  
Vol 55 (8) ◽  
pp. 1636-1654 ◽  
Author(s):  
Chris Hudson ◽  
John Hudson ◽  
Bruce Morley
Keyword(s):  
House Prices ◽  
Complex Structure ◽  
House Price ◽  
Bounds Testing ◽  
Price Shocks ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

The aim of this study is to determine the nature of the relationship between house prices of different types of housing across the UK regions. We use an Autoregressive Distributed Lag bounds testing approach to determine the long-run relationships between house prices as well as an error correction model to estimate the short-run dynamics between house prices. The data include house prices across the regions of Great Britain and for new, old and modern houses. The results suggest that house price shocks ripple across regions, although the nature of the relationship varies across housing types. We further simulate the impact of house price shocks and reveal a complex structure whereby a house price shock in region A impacts upon prices in other regions, which in turn feedback into region A in a recursive ripple.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

scholarly journals International Real Estate Review

2012 ◽  
Vol 15 (1) ◽  
pp. 1-42
Author(s):  
Heeho Kim ◽  
◽  
SaeWoon Park ◽  
Sun Hye Lee ◽  
◽  
...  
Keyword(s):  
House Prices ◽  
House Price ◽  
Bank Lending ◽  
Government Policies ◽  
High Price ◽  
Subprime Crisis ◽  
Long Run ◽  
Short Run ◽  
Price Escalation ◽  
Housing Submarket

This paper studies the abnormal price behavior of Kangnam, a premium (high price) housing submarket in Seoul, Korea, which addresses the correlation between house prices, bank lending, and other factors, including income. Kangnam experienced the most dramatic price escalation during the study period (1999-2009) despite Korean government policies to stabilize house prices in 2005 and the U.S. subprime crisis in 2008. The empirical result shows that even though the house price in a premium market is, to some degree, positively influenced by income, it is not affected by bank lending in the short-run while negatively affected in the long-run. This suggests that a premium housing submarket has a peculiar price dynamics of its own unlike the other submarkets which seem to comply more or less with our notion of a general economic theory, especially in terms of house prices and bank lending.

scholarly journals THE IMPACT OF MONEY ON OUTPUT IN CZECH REPUBLIC AND ROMANIA

2018 ◽  
Vol 19 (1) ◽  
pp. 20-41 ◽  
Author(s):  
Mihaela SIMIONESCU ◽  
Adam P. BALCERZAK ◽  
Yuriy BILAN ◽  
Anna KOTÁSKOVÁ
Keyword(s):  
Czech Republic ◽  
Global Financial Crisis ◽  
Causality Test ◽  
Developed Country ◽  
Developed Economies ◽  
Long Run ◽  
Short Run ◽  
Almost All ◽  
Vector Error Correction Models ◽  
The Impact

The problem of relationship between output and money has become again a subject of special interests of economists after the most recent global financial crisis and monetary stabilization policies applied by central banks of almost all developed economies. In this context, the main aim of this paper is to assess the relation between GDP and the most important monetary variables in two countries: Romania and Czech Republic over the period of 1995:Q1 – 2015:Q4. The choice of these economies was deliberate. The selected countries are different from the viewpoint of rate and results of transformation from the centrally planned to market economy, which have influenced their current economic environment stability. Czech Republic is currently classified as middle or even developed country, whereas Romania is still considered as a developing economy. Thus, differences between these two countries make them interesting in the case of comparative studies. In the empirical part of our research the vector error correction models (VECM) were applied. The main findings of the article are the following: in Romania, there is a short-run causality from money supply (M3) to GDP and a long-run relationship between GDP, internal credit and M3. According to Granger causality test, the rate of M3 in Romania was a cause for economic. In Czech Republic, there is a short-run causality from M3 to GDP and a long-run causality between GDP, internal credit and M3. Thus, the results contradict the money neutrality hypothesis in post-transformation Central European economies.

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

scholarly journals Non-Resident Holdings of Domestic Debt in Nigeria

2020 ◽  
Vol 20 (63) ◽  
Author(s):  
Amr Hosny
Keyword(s):  
Interest Rates ◽  
Oil Prices ◽  
Policy Reforms ◽  
Short Term ◽  
Rates Of Return ◽  
Treasury Bills ◽  
Long Run ◽  
Domestic Debt ◽  
Short Run ◽  
Using Data

Foreign holdings of domestic debt instruments in Nigeria have been increasing. Using data over 2007M1-2019M1, we show that, on average, global factors (global interest rates, oil prices) seem to carry more weight than domestic factors (treasury bills rate and domestic risk) in foreign portfolio invetsors’ decisions in Nigeria. Specifically, we show that foreign participation is, in the long run, positively correlated with oil prices and profitable rates of return on local-currency instruments, but negatively correlated with exchange rate depreciation pressures. In the short run, oil prices, opportunity cost of funds and perception of Nigeria-specific risks also play a role. These results highlight the volatile short-term nature of such flows and call for a package of policy reforms to attract longer term direct investments.

Asymmetric Impact of Exchange Rate Volatility on Commodity Trade Between Pakistan and China

2020 ◽  
pp. 097215092091628
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Ahmed Usman ◽  
Sana Ullah
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Exchange Rate Volatility ◽  
Trade Flows ◽  
Annual Data ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Asymmetric Impact ◽  
Almost All

China is the largest trading partner of Pakistan. Therefore, it is very important to consider the trade flows between Pakistan and China and their response to rupee–yuan volatility. Previous research assumed that response of trade flows to measure of volatility is symmetric. In this study, our basic objective is to check whether the trade flows respond to volatility in a symmetric or asymmetric manner. Annual data over the period 1980–2018 for 14 Pakistani industries exporting to and 34 industries importing from China are analyzed. We find short-run asymmetric effects of exchange rate volatility in almost all industries that last into long-run asymmetric effects in 40–50 per cent of industries. Non-linear models yielded more significant effects of volatility than the traditional linear models.

Housing Prices and Money Demand: Empirical Evidence in Selected MENA Countries

2019 ◽  
Vol 15 (1) ◽  
Author(s):  
Nadia Mbazia ◽  
Mouldi Djelassi
Keyword(s):  
Money Demand ◽  
House Prices ◽  
Housing Prices ◽  
House Price ◽  
Structural Features ◽  
Demand Model ◽  
Mena Countries ◽  
Long Run ◽  
Short Run ◽  
Dynamic Relationships

Abstract This paper examines the links between housing and money empirically in a money demand framework for a panel of five Middle East and North Africa (MENA) countries using quarterly data from 2007Q3 to 2014Q4 with the inclusion of house prices as a variable representing the developments in housing markets. We applied the Pool Mean Group Estimation technique to estimate the long-run and short-run dynamic relationships in money demand model. Empirical results provide the evidence that higher house prices lead to a rise in M2 demand in long-run and short-run estimations. This finding may explain the importance influence of the house price developments on monetary policy in MENA countries. The results confirm that the cross-country heterogeneity of money holdings is also connected with structural features of the housing market.

scholarly journals Empirical Analysis of House Price Bubble: A Case Study on Malaysia

2016 ◽  
Vol 11 (12) ◽  
pp. 127
Author(s):  
Fong Kean Yan ◽  
Yap Lya Keng ◽  
Kwek Kien Teng
Keyword(s):  
Gross Domestic Product ◽  
House Prices ◽  
House Price ◽  
Domestic Product ◽  
Price Bubble ◽  
Long Run ◽  
Residential Properties ◽  
Short Run ◽  
Per Capita ◽  
House Price Bubble

The main objective of this research is to investigate the relationship between house price with macroeconomics variables - Gross Domestic Product per capita, inflation rate, Base Lending Rate and amount of household loan disbursed for purchase of residential properties. We try to use these variables to examine if they could trigger a housing bubble to burst in Malaysia. Granger Causality results show that there is univariate relationship from house price to Gross Domestic Product per capita. Though house price and other macroeconomics variables do not Granger–cause each other in short run, but these variables are cointegrated in the long run, i.e. there is no evidence of house price bubble in Malaysia. We suggest that soaring house prices in Malaysia is being supported by the large inflow of foreign funds into the housing sector and the unresponsive supply of houses.

Housing Bubble in Penang Prediction and Determinants

2015 ◽  
Vol 73 (5) ◽  
Author(s):  
Loh Yun Lu ◽  
Janice YM Lee ◽  
Usama Al-mulali ◽  
Nurul Afiqah Ahmad ◽  
Izran Sarrazin Mohammad
Keyword(s):  
Price Index ◽  
House Prices ◽  
Consumer Price Index ◽  
House Price ◽  
Decomposition Analysis ◽  
Ordinary Least Squares ◽  
Housing Bubble ◽  
Least Squares Regression ◽  
Long Run ◽  
Short Run

House prices in Malaysian cities increased drastically in the past few years, notably in the state of Penang.  The existence of a housing bubble is speculated by major property players. This paper ascertains whether a housing bubble exists in Penang and explores the long-run and short-run determinants of Penang residential prices. Quarterly data (2000Q1 to 2012Q2) of House Price Index is the dependent variable and Gross Domestic Product, Consumer Price Index (CPI), Base Lending Rate (BLR) and Housing Supply as independent variables. Econometric model together with fully modified Ordinary Least Squares regression were used to detect the presence of housing bubble in Penang. The determinants of Penang house prices are based on Granger causality and variance decomposition analysis using the vector autoregressive (VAR) model. The results show no evidence of housing bubble in Penang housing market. CPI has both long-run and short run causality relationship with house prices while CPI and BLR explain a large part of housing price variance. Results show changes in inflation and cost of borrowing will greatly affect Penang house prices.  

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