Interactions between stock, bond and housing markets

被引：19
|
作者：
Dieci, Roberto [1 ,2 ]
Schmitt, Noemi [3 ]
Westerhoff, Frank [3 ]
机构：
[1] Univ Bologna, Dept Math, Bologna, Italy
[2] Univ Bologna, Sch Econ Management & Stat, Bologna, Italy
[3] Univ Bamberg, Dept Econ, Bamberg, Germany
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2018年 / 91卷
关键词：
Stock markets; Housing markets; Bond markets; Bounded rationality; Market interactions; Nonlinear dynamics; ASSET PRICING EXPERIMENTS; EVOLUTIONARY SELECTION; SPECULATIVE BEHAVIOR; DYNAMICS; MODEL; EXPECTATIONS; HETEROGENEITY; STRATEGIES; BELIEFS; CRASHES;
D O I：
10.1016/j.jedc.2018.05.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a model in which investors can participate in stock, bond and housing markets. Investors' market entry decisions are subject to herding effects and depend on the markets' price trends and on their mispricings. The dynamics of our model is governed by a four-dimensional nonlinear map and its unique inner steady state is characterized by standard present-value relations between dividends, rents and the bond rate. Amongst other things, we show that endogenous stock and housing market dynamics emerge, countercyclical to each other, if investors react strongly to the markets' price trends. Such a cross feedback reflects investors' tendency to transfer their enthusiasm from one speculative market to another. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：43 / 70
页数：28
相关论文
共 50 条
  • [11] BOND AND STOCK MARKETS - INTEGRATED OR SEGMENTED
    REGAN, WJ
    REVIEW OF BUSINESS AND ECONOMIC RESEARCH, 1976, 11 (03): : 35 - 49
  • [12] PREDICTING RETURNS IN THE STOCK AND BOND MARKETS
    KEIM, DB
    STAMBAUGH, RF
    JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) : 357 - 390
  • [13] Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets
    Toyoshima, Yuki
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2018, 11 (02):
  • [14] Volatility Transmission Between Housing and Stock Markets In Europe: A Multivariate Garch Perspective
    Vardar, Gulin
    Aydogan, Berna
    EGE ACADEMIC REVIEW, 2018, 18 (04) : 619 - 629
  • [15] Dynamic interactions between stock markets and the real economy Evidence from emerging markets
    Laopodis, Nikiforos T.
    Papastamou, Andreas
    INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2016, 11 (04) : 715 - 746
  • [16] Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR
    Coelho, Pedro
    Gomes, Luis
    Ramos, Patricia
    RISKS, 2023, 11 (07)
  • [17] Volatility Transmissions Between Stock And Bond Markets: Evidence From Japan And The US
    Fang, V
    Lim, Y. C.
    Lin, C. T.
    MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING, 2005, : 814 - 820
  • [18] Volatility transmission between stock and bond markets: Evidence from US and Australia
    Fang, V
    Lee, VCS
    Lim, YC
    INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING IDEAL 2005, PROCEEDINGS, 2005, 3578 : 580 - 587
  • [19] Flight-to-quality between global stock and bond markets in the COVID era
    Papadamou, Stephanos
    Fassas, Athanasios P.
    Kenourgios, Dimitris
    Dimitriou, Dimitrios
    FINANCE RESEARCH LETTERS, 2021, 38
  • [20] A study on the effect of macro economy on the liquidity comovement between stock and bond markets
    Zeng Zhijian
    Xie Chi
    GLOBALIZATION CHALLENGE AND MANAGEMENT TRANSFORMATION, VOLS I - III, 2007, : 729 - 734
12345