A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data - Brossura

Marty, Rudolf

Brossura

ISBN 10: 6139451892 ISBN 13: 9786139451890

Casa editrice: LAP LAMBERT Academic Publishing, 2019

Riassunto

In this study, I use a variance ratio test derived from the Campbell-Shiller return decomposition to test whether there is evidence of a bubble in Swiss housing and stock returns for the period 1980 to 2016. Vector autoregressive models (VAR models) containing macro variables, i.e. real interest rates, real per capita Gross Domestic Product (GDP) growth and a term spread variable, and cash flow data are used for the stock and housing market to model cash flow derived returns of the housing and stock market. From the Campbell-Shiller decomposition the unexpected housing and stock return variance is decomposed into cash flow and return news components. This analysis’ findings are that while stock return volatility is driven predominantly by fundamentals like dividend growth, the housing market’s unexpected return variance can also be explained mainly by the cash flow (i.e. rent growth) news component, although the variance decomposition is not very robust with respect to the underlying VAR-model. Finally, a variance-ratio test suggested by Engsted and Tanggard (2001) is computed to test whether there were bubbles in the housing and/or stock market.

Dettagli dell'edizione

• Editore: LAP LAMBERT Academic Publishing
• Data di pubblicazione: 2019
• Lingua: Inglese
• ISBN 10: 6139451892
• ISBN 13: 9786139451890
• Rilegatura: Copertina flessibile
• Numero di pagine: 56
• Contatto del produttore: non disponibile
• Persona responsabile: KreGa Onlinehandel GmbH; 4950000000000; info@krega-onlinehandel.de; ; Birkenweg 31; Brakel; 33034; Germania