scholarly journals Asymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries

2021 ◽  
Vol 11 (2) ◽  
pp. 90
Author(s):  
Saliu Mojeed Olanrewaju ◽  
Ogunleye Edward Oladipo
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Asset Prices ◽  
Asset Price ◽  
Panel Cointegration ◽  
African Countries ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Real Estate Prices ◽  
The Relationship

This study examines the relationship between Asset prices (Stock and Real estate prices) and Macroeconomic variables in four selected African countries. The study employs the Westerlund Error Correction Based Panel Cointegration test and Eight-variable Structural Vector Autoregressive model to examine the relationship between asset prices and macroeconomic variables. Findings from the study confirm that no long-run relationship exists between both Asset prices and macroeconomic variables. The study equally reveals that portfolio diversification benefits of both stock and real estate markets are more pronounced in the period of a boom than the recession period in Africa. The results also show that GDP growth rate shock exerts a significant impact on both asset prices during expansion and recession periods. The study reveals that foreign interest rates and World oil price shocks are better predictors of both stock and real estate prices during the crisis period than in the expansion period.

scholarly journals Are Real Estate Prices Evolving into an Asset Price Bubble?

2021 ◽  
Vol 15 (1) ◽  
pp. 36-48
Author(s):  
Wolfgang Kloppenburg
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Asset Price ◽  
Oecd Countries ◽  
Real Estate Market ◽  
Private Debt ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Price Bubble ◽  
Real Estate Prices

The development of real estate prices is of extraordinary importance for the fi nancial and economic system, as undesirable developments could endanger fi nancial stability – as seen in the fi nancial crisis of 2008 and 2009. This applies not only to speculators, but also to private households, which have to borrow to pay the purchase price. The market has been “fueled” in particular by the monetary policy of the central banks – expansion of the money supply and low interest rates. Investors are looking for investment opportunities due to the money glut, and the real estate market still promises a return. Furthermore, many people looking to build are willing to go into debt to buy a property. This demand ultimately has a driving eff ect on real estate prices. The aim of this paper is to compare and analyze the development of real estate prices in the most important OECD countries with those of Germany. A model of real estate prices is presented, which takes into account the most important indicators and provides information on when a price bubble exists. The model shows that asset price bubbles can be identified in some OECD countries. In Germany, on the other hand, there are only signs of a price bubble in a few major cities. Since private debt is low, it does not seem to be a problem across the board in Germany. A general problem remains with regard to the timely detectability of price bubbles.

An Empirical Research on the Relationship between Real Estate Prices and Inflation

2011 ◽  
Vol 55-57 ◽  
pp. 1992-1996
Author(s):  
Tie Qun Li
Keyword(s):  
Real Estate ◽  
Stock Prices ◽  
Test Analysis ◽  
Social Demand ◽  
The Real Estate ◽  
Key Factor ◽  
Negative Effect ◽  
Labor Service ◽  
Real Estate Prices ◽  
The Relationship

The former researches referring to inflation and real estate prices concentrated mainly on the stock prices rather than the real estate prices. Owing to the enlarging ratio of real estate industry in national economy with each passing day, as well as the overheating real estate prices in recent years, the relationship between real estate prices and inflation is particularly vital to the monetary policy making for the monetary authorities. According to the test analysis of data from 2001 to 2009, it is found that real estate prices is Granger Cause of inflation while inflation is not the Granger Cause of real estate prices in this paper. Through the Effects of Wealth, Credit and Tobin, real estate prices drive the growth of social consumption and investments and expand the total social demand which possess an positive effect on inflation; nevertheless the rising of real estate prices causes the rising of currency for real estate purchasing, which, under the circumstance of that currency supply remains, will inevitably bring about the reduction of currency for other consumption and investments and restrain the total social demand which would mean a suppression of continuous rising of prices of other commodity and labor service. All these show that real estate also has a negative effect on inflation. The cancellations between the two effects make the long-term influence real estate bearing on inflation is not obvious. The experimental results indicate that when the price of real estate rises 1%, inflation only rises 0.058%. Consequently, a strict controlling of the amount of money issued is the key factor for keeping the over rapid rising of real estate prices from leading to inflation.

scholarly journals The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 89 ◽  
Author(s):  
Jatin Malhotra ◽  
Angelo Corelli
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Credit Default ◽  
The Us ◽  
Before And After ◽  
The Global Financial Crisis ◽  
Industry Sectors ◽  
The Relationship

The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in Europe and US, and fundamental macroeconomic variables such as regional stock indices, oil prices, gold prices, and interest rates. The dataset includes consideration of multiple industry sectors in both economies, and it is split in two sections, before and after the global financial crisis. The analysis is carried out using multivariate regression of each index vs. the macroeconomic variables, and a Granger causality test. Both approaches are performed on the change of value of the variables involved. Results show that equity markets lead in price discovery, bidirectional causality between interest rate, and CDS spreads for most sectors involved. There is also bidirectional causality between stock and oil returns to CDS spreads.

scholarly journals Consequences of Economic Deconcentration in Italy and Rome: Unplanned Processes in a Highly Regulated Country

2012 ◽  
Vol 2012 ◽  
pp. 1-9
Author(s):  
Armando Montanari ◽  
Barbara Staniscia
Keyword(s):  
Real Estate ◽  
Social Environment ◽  
Planning System ◽  
Location Decisions ◽  
Market Forces ◽  
Public Authorities ◽  
The Public ◽  
Real Estate Prices ◽  
High Degree ◽  
The Relationship

This paper analyses the relationship between deconcentration processes, planning policies, and governance in the metropolitan area of Rome, Italy, from 1991 to 2001. It points out that Rome does not have an explicit policy either in favor of or against deconcentration and that the public authorities are not in fact aware of the problem. Deconcentration is mainly driven by market forces and business location decisions. These decisions are strongly influenced by material factors such as accessibility, land availability, and real estate prices, as well as immaterial factors such as the natural, cultural, and social environment. Public players can take action to influence these factors. Even though Italy has a very strictly regulated planning system, there has traditionally been a high degree of freedom in actual behaviors.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan

2013 ◽  
Vol 18 (2) ◽  
pp. 1-35 ◽  
Author(s):  
Saira Tufail ◽  
Sadia Batool
Keyword(s):  
Real Estate ◽  
Stock Prices ◽  
Foreign Currency ◽  
Stock Exchange ◽  
Asset Price ◽  
Price Inflation ◽  
Dual Nature ◽  
The Government ◽  
The Relationship ◽  
Unexpected Inflation

In this study, we formulate a new inflation equation to capture the potential effects of gold and stock prices on inflation in Pakistan. We aim to assess the inflation-hedging properties of gold compared to other assets such as real estate, stock exchange securities, and foreign currency holdings. Applying time-series econometric techniques (cointegration and vector error correction models) to data for 1960–2010, we find that gold is a potential determinant of inflation in Pakistan. On the other hand, it also provides a complete hedge against unexpected inflation. Real estate assets are more than a complete hedge against expected inflation, although stock exchange securities outperform gold and real estate as a hedge against unexpected inflation. Foreign currency proves to be an insignificant hedge against inflation. Given the dual nature of the relationship between gold and inflation, it is increasingly important for the government to monitor and regulate the gold market in Pakistan. Moreover, stock market investment should be encouraged by the government given that asset price inflation does not pose a critical problem for Pakistan as yet.

scholarly journals The Relationship between Interest Rates, Income, GDP Growth and House Prices

2017 ◽  
Vol 2 (1) ◽  
pp. 30 ◽  
Author(s):  
Ting Xu
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Interest Rates ◽  
House Prices ◽  
Gdp Growth ◽  
The Real ◽  
The Real Estate ◽  
Control Power ◽  
The Relationship

<em>This paper will analyse the relationship between interest rate, income, GDP growth and house prices. First, the control power of interest rate for the prices is limited. Second, people’s income increases, thus that also increases the demand for housing. But house prices are too high and will cause buying pressure. Third, the real estate industry’s growth and GDP growth have inseparable relationship, they interact with each other.</em>

scholarly journals International Real Estate Review

2019 ◽  
Vol 22 (1) ◽  
pp. 1-26
Author(s):  
Benedikt Fleischmann ◽  
◽  
Carsten Fritz ◽  
Steffen Sebastian ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Arima Model ◽  
Negative Relationship ◽  
Developed Economies ◽  
Consumer Prices ◽  
Inflation Rates ◽  
Asset Value ◽  
Real Estate Prices ◽  
The Relationship ◽  
Inflation Hedging

With inflation rates remaining close to zero in all major developed economies for long periods of time, especially from 1998 - 2015, investors have become increasingly concerned about the potential effects of deflation on asset value. Negative inflation rates were observed between 1998 and 2009 in Hong Kong and Japan, and those economies faced several years of deflation. There is a rich body of literature on the effects of inflation hedging on the returns of stocks, bonds, and real estate. We examine asset returns for these products between 1986 and 2009, and use an ARIMA model to explore whether they offer a deflation hedge. We show that rents and real estate prices are closely linked to consumer prices, which confirms previous findings on inflation hedging. Since the relationship is generally positive and over proportional, we find that real estate is not an effective hedge against deflation. In contrast, we find no relationships between stocks or bonds and inflation. Only for Japanese bonds are we able to find a significantly negative relationship with unexpected deflation.

scholarly journals Relationship Between Selected Macroeconomic Variables and the Financial Performance of Investment Banks in Kenya

2021 ◽  
Vol 13 (11) ◽  
pp. 102
Author(s):  
Mungiria James Baariu ◽  
Njuguna Peter
Keyword(s):  
Financial Performance ◽  
Interest Rates ◽  
Significant Influence ◽  
Investment Banks ◽  
Arbitrage Pricing Theory ◽  
Macroeconomic Variables ◽  
Pricing Theory ◽  
Equity Investments ◽  
Classical Economic ◽  
The Relationship

Currently, investment banks in Kenya are facing a lot of challenges due to persistence losses. However, the available studies are inadequate to aid investment banks in overcoming these challenges in Kenya due to mixed findings, resulting in rising uncertainty on equity investments&rsquo; performance, leading to massive losses among investment banks.&nbsp; This study, therefore, sought to model the relationship between inflation, GDP, interest rates, exchange rates, and financial performance of investment banks. Arbitrage pricing theory, Modern portfolio theory as well as classical economic theory (flow-oriented model) was used. A causal research design was adopted. The study found that inflation has negative significant influence on financial performance of equity investments among investment banks in Kenya. Also, GDP has positive and significant influence on financial performance of equity investments among investment banks in Kenya. Interest rate was also found to have negative and significant influence on financial performance of equity investments among investment banks in Kenya. In addition, exchange rate has negative significant influence on financial performance of equity investments among investment banks in Kenya. The study therefore recommends any investor including financial investors to methodically analyze inflation trends and understand how it affects the company&rsquo;s financial performance. Investors must also be in a position to predict the future concerning inflation changes.

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