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 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....

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...

This paper studies the dynamics of housing returns in Singapore. We first extract the movements of Singapore's economic aggregates that are free from foreign (U.S. and rest of the world) factors, and then examine the determinants of its housing returns. We find that both the domestic variables...

This paper empirically investigates the forecasting performances for the housing and stock returns of a series of SVAR models, including various combinations of the federal funds rate, term spread, external finance premium, TED spread, and GDP. Using US data 1975Q2-2008Q3, we find that, for both...