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Full-Text Articles in Social and Behavioral Sciences
Nonlinear Ardl Approach And The Housing Market In The U.S., Seyed Hesam Ghodsi
Nonlinear Ardl Approach And The Housing Market In The U.S., Seyed Hesam Ghodsi
Theses and Dissertations
This study investigates the existence of linear cointegration, nonlinear cointegration or no cointegration between house prices and fundamentals in the U.S. states over the period of 1975Q1-2014Q3. I employ Autoregressive Distributed Lag (ARDL) model by Pesaran et al. (2001) to test for linear cointegration and Nonlinear Autoregressive Distributed Lag (NARDL) model by Shin et al. (2014) to test for nonlinear cointegration between house prices and fundamentals. Decomposing fundamentals into positive and negative components in the nonlinear ARDL model allows me to study the nature of impacts of income and/or mortgage rates on house prices. By using these methods (ARDL and …
Do Exchange Rate Changes Have Symmetric Or Asymmetric Effects On Stock Prices?, Sujata Saha
Do Exchange Rate Changes Have Symmetric Or Asymmetric Effects On Stock Prices?, Sujata Saha
Theses and Dissertations
This study employs the bounds testing approach to cointegration to examine the short run and long run dynamics between stock prices and exchange rates, accounting for few other macroeconomic variables such as Consumer Price Index, Industrial Production Index, nominal money supply (M2) which are known to have effects on stock prices as well. The main contribution of this paper which is absent in the literature is that the change in nominal effective exchange rate is decomposed into partial sum of positive changes and negative changes to determine whether the changes in exchange rates have symmetric or asymmetric effects on stock …