The Dynamic Relationship between Household Loans of Depository Institutions and Housing Prices after the Financial Crisis

2020 ◽  
Vol 11 (4) ◽  
pp. 189-203
Author(s):  
Gyu-Sik Han
Keyword(s):  
Financial Crisis ◽  
Housing Prices ◽  
Depository Institutions ◽  
Dynamic Relationship

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals Empty talk? University voices on the Global Financial Crisis

2010 ◽  
Vol 6 (4) ◽  
Author(s):  
Todd Bridgman
Keyword(s):  
Financial Crisis ◽  
News Media ◽  
Global Financial Crisis ◽  
Housing Prices ◽  
Banking System ◽  
Policy Makers ◽  
The Us ◽  
Complex Events ◽  
The Global Financial Crisis ◽  
Company Sector

The global financial crisis (GFC) which began in 2007 with a liquidity squeeze in the US banking system and which continues to play out today has affected us all, whether through the collapse of the finance company sector, rising unemployment, falling housing prices or the recession which followed the initial market crash. The speed and scope of the crisis surprised most experts – policy makers included. Specialists from a myriad of disciplines, from economics and finance to risk management, corporate governance and property, are trying to make sense of what happened, why it happened and what it means for us now and into the future. Members of the public rely on the news media to keep them informed of the crisis as it unfolds and they rely on experts to translate these complex events into a language which they can understand. The GFC is educating us all, and it is important that we all learn from it to avoid making the same mistakes again. 

The Dynamic Relationship between Oil Prices and Exchange Rates

2017 ◽  
Vol 2 (2) ◽  
Author(s):  
Hamid Sakaki
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Oil Prices ◽  
Significant Negative Correlation ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Dynamic Relationship ◽  
Daily Data ◽  
Us Dollar ◽  
Dollar Depreciation

<p>Using daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates by DCC-GARCH model. The results show the significant negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price is coinciding with US dollar depreciation and vice versa.  This correlation strengthens in negative direction during financial crisis period, while it shifts to an upward trend after financial crisis period.</p>

The Dynamic Relationship between Oil Prices and Exchange Rates

2017 ◽  
Vol 2 (2) ◽  
Author(s):  
Hamid Sakaki
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Oil Prices ◽  
Significant Negative Correlation ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Dynamic Relationship ◽  
Daily Data ◽  
Us Dollar ◽  
Dollar Depreciation

<p>Using daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates by DCC-GARCH model. The results show the significant negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price is coinciding with US dollar depreciation and vice versa.  This correlation strengthens in negative direction during financial crisis period, while it shifts to an upward trend after financial crisis period.</p>

scholarly journals Bank Competition and Financial Stability: Evidence from the Financial Crisis

2016 ◽  
Vol 51 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Brian Akins ◽  
Lynn Li ◽  
Jeffrey Ng ◽  
Tjomme O. Rusticus
Keyword(s):  
Financial Crisis ◽  
Financial Stability ◽  
Housing Prices ◽  
State Level ◽  
Real Estate Market ◽  
Bank Competition ◽  
Banking Competition ◽  
The Real Estate ◽  
The Real Estate Market ◽  
Recent Financial Crisis

AbstractWe examine the link between bank competition and financial stability using the recent financial crisis as the setting. We utilize variation in banking competition at the state level and find that banks facing less competition are more likely to engage in risky activities, more likely to face regulatory intervention, and more likely to fail. Focusing on the real estate market, we find that states with less competition had higher rates of mortgage approval, experienced greater inflation in housing prices before the crisis, and experienced a steeper decline in housing prices during the crisis. Overall, our study is consistent with greater competition increasing financial stability.

Volatility spillover from crude oil and gold to BRICS equity markets

2018 ◽  
Vol 45 (2) ◽  
pp. 426-440 ◽  
Author(s):  
Vikas Pandey ◽  
Vipul Vipul
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Markets ◽  
Equity Markets ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Conditional Correlation ◽  
Price Shocks ◽  
Content Type ◽  
Dynamic Relationship

Purpose The purpose of this paper is to investigate the volatility spillover from crude oil and gold to the BRICS stock markets, after removing the effect of co-movement of prices of crude oil and gold. Design/methodology/approach Three multivariate GARCH models (dynamic conditional correlation, constant conditional correlation, and Baba, Engle, Kraft and Kroner) are used to capture the dynamic relationship between the crude oil and gold returns. The innovations from gold and oil are orthogonalized, and the EGARCH model is employed for the spillover analysis. The influences of oil price shocks and gold price shocks are tested on the returns of each of the BRICS equity markets. Findings There is evidence of volatility spillover from both the crude oil and gold to the BRICS stock markets. A sub-sample analysis suggests that the volatility spillover from gold was not significant before the financial crisis of 2008, but became significant post-crisis. The volatility asymmetry, which was not significant before the crisis, also became significant after it. Originality/value This study examines the volatility spillover to the BRICS stock markets from crude oil and gold, after accounting for the co-movement in their prices. It can help equity investors to judge whether gold can provide incremental diversification benefit, if used in conjunction with crude oil. The study also provides insights into the changes caused by the 2008 financial crisis on this volatility spillover mechanism.

scholarly journals Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 11 (4) ◽  
pp. 90 ◽  
Author(s):  
Xie He ◽  
Xiao-Jing Cai ◽  
Shigeyuki Hamori
Keyword(s):  
Stochastic Volatility ◽  
Housing Prices ◽  
Bank Credit ◽  
Var Model ◽  
Supply Side ◽  
Time Varying ◽  
Demand Side ◽  
Credit System ◽  
Dynamic Relationship ◽  
Time Varying Parameter

Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China’s housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic relationship between housing prices and bank credit in China from the second quarter of 2005 to the fourth quarter of 2017 by using a time-varying parameter vector autoregression (VAR) model with stochastic volatility. Furthermore, we study the relationships between housing prices and housing loans on the demand side and real estate development loans on the supply side, separately. Finally, we obtain several findings. First, the relationship between housing prices and bank credit shows significant time-varying features; second, the mutual effects of housing prices and bank credit vary between the demand side and supply side; third, influences of housing prices on all kinds of bank credit are stronger than influences in the opposite direction.

scholarly journals Housing Prices, Residential and Nonresidential Investments and Macroeconomic Fluctuations

2017 ◽  
Vol 4 (2) ◽  
pp. 19
Author(s):  
Wei Ma ◽  
Weiqun Li ◽  
Keqin Qu ◽  
John Oden
Keyword(s):  
Financial Crisis ◽  
Business Cycle ◽  
House Prices ◽  
Housing Prices ◽  
Housing Markets ◽  
Macroeconomic Fluctuations ◽  
Empirical Results ◽  
Residential Investment ◽  
The Business Cycle ◽  
Recent Financial Crisis

During the recent financial crisis, the housing markets have played a notably important role in driving macroeconomic fluctuations. We investigate the correlation between housing dynamics and the business cycle for a variety of countries. Our empirical results exhibit the two daunting facts faced by lots of macroeconomic modelers: (i) house prices are highly volatile and closely correlated with the business cycle, which is at odds with the evidence that rental prices are relatively stable and almost uncorrelated with the business cycle; and (ii) residential investment leads the business cycle while nonresidential investment moves contemporaneously with the business cycle.

The relationship between Renminbi’s exchange rate and East Asia currencies before and after the “financial crisis”

2015 ◽  
Vol 5 (1) ◽  
pp. 34-52 ◽  
Author(s):  
Xiangyun Xu ◽  
Songyang Wu ◽  
Ye Wu
Keyword(s):  
Financial Crisis ◽  
East Asia ◽  
Large Degree ◽  
Content Type ◽  
Dynamic Relationship ◽  
Before And After ◽  
East Asia Region ◽  
Relationship Of ◽  
The Relationship

Purpose – The purpose of this paper is to analyze the “following” behavior of six currencies in East Asia to RMB before and after the “financial crisis”. Design/methodology/approach – Using foreign exchange spot rate data from 2005 to 2013, the authors investigate the dynamic relationship of RMB and six East Asia currencies with method of DCC-GARCH and quantile regression. Findings – The authors get such conclusions: first, most currencies indeed “follow” RMB in whole sample period but the correlation is “time-varying”; second, the degree of co-movement increased as a whole, which reflects that the influence of China in East Asia rose continuously; third, the East Asian currencies behaved differently before the crisis, but reveal some similarities after the crisis, and prefer to “follow” when RMB depreciates and reluctant to follow when RMB appreciates at a comparatively large degree. The authors argue that it may be related to the different macroeconomic environment faced by East Asia region before and after the crisis, the rising economic influence of China and the development of RMB internationalization’s practice. Originality/value – The effort could strength the understanding to the “following” behavior of East Asia currencies to RMB, the authors also point out that RMB has been as regional currency anchor, but the role of anchor is unstable, and is affected by international economic circumstance, China should adapt some methods to strength RMB’s influence to East Asia currency.

Rising residential rents in Chinese mega cities: The role of monetary policy

Urban Studies ◽  
2016 ◽  
Vol 53 (16) ◽  
pp. 3493-3509 ◽  
Author(s):  
Shu-hen Chiang
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Housing Market ◽  
Global Financial Crisis ◽  
Housing Prices ◽  
Living Standards ◽  
Policy Regimes ◽  
Urban Living ◽  
Mega Cities

Although there have been a large number of studies carried out on fluctuations in housing prices, little is known about what causes changes in residential rents, which are inextricably intertwined with urban living standards. This is especially noteworthy in Chinese cities, which are now being challenged by the housing market frenzies. Shift-share analysis is proposed to evaluate all possible triggers of residential rent inflation in three cities during the 2001–2013 period, which covers two distinct monetary policy regimes in China. It is found that the recent rise in residential rent comes as a result of aggregate inflation associated with an expansionary monetary policy since the 2008 Global Financial Crisis and an all-encompassing and stable policy stance should therefore be adopted.

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