This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent....

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market...

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

This paper investigates the possible responses of housing returns to macroeconomic and global variables for four special municipalities in Taiwan (Taipei, New Taipei, Taichung and Kaohsiung) over the period 1991Q1 to 2010Q4. Two interesting results have been observed. First, the housing market...

This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent....

This paper first investigates the stationarity of dividend yield and then analyzes the predictive ability of the adjusted dividend yield which removes structural changes and high persistence characteristics. Empirical results have found that the dividend yield follows a mean-reverting process in...

We examine how the fluctuations in financial and housing markets in U.S. affect the asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching...

“The buffer stock theory” derived from the intertemporal utility maximization predicts that an increase in wealth will dampen the motive for precautionary savings and therefore reduce consumption’s over-sensitivity with respect to income changes. Since over the last forty years Taiwan has...

This paper examines both the long-run and short-run relationships among the four regional housing markets in Taiwan, under the structural change framework. The empirical results demonstrate that the regional housing markets have a cointegration relationship and the long-run relation has two...