This paper studies the dependence structure between the real estate and financial
markets in the United States from roughly 1975 to 2010, including the stock, bond
and foreign exchange markets. This analysis uses dynamic copulas, including the
Gaussian, Gumbel and Clayton copula. The Gumbel and Clayton copulas are used to
separately capture the tail dependence of data. The dependence between the property
indices (HPI and NCREIF) and the three financial markets is analyzed using the
parameters of the copula. The property indices are divided in two different ways: by
different regions and by different types of real estate. Although we study the
dependence between the real estate and the financial markets in the U.S., the main
objective of this paper is to analyze the change in the dependence structure when
financial disasters occur.
This study indicates that the real estate and the stock markets were positively related
during this time period, and this dependence drove extreme movement when financial
crises occurred. This dependence differed depending on the type of financial crisis,
such as the Internet bubble crisis or the financial crisis in 2008. The dependence
between the real estate and bond markets was also positively related, and extreme
movement also occurred during financial crises. As for the dependence between the
real estate and foreign exchange markets, although the results shows that dependence
decreased when financial crises occurred, this is because the value of U.S. dollars are
opposite to those of the index, and the left tail dependence exists as previous result.
When looking at different regions or types of property, the differences in dependence
structure were not obvious, although they were positively related. Both right and left
tail dependences existed for most regions and property types, although some regions
or types showed either right or left tail dependences alone. Therefore, investors should
focus on the relationship between different markets, not on the region or type of real
estate.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0801111-030800 |
| Date | 01 August 2011 |
| Creators | Sie, Ming-si |
| Contributors | I-Chun Tsai, Ming-Chi Chen, David S.Shyu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0801111-030800 |
| Rights | user_define, Copyright information available at source archive |
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