scholarly journals A Comparative Analysis on the Wealth Effect between in the Stock Market and in the Housing Market in China

2017 ◽  
Vol 9 (11) ◽  
pp. 118
Author(s):  
Lin Liu ◽  
Kai Shi
Keyword(s):  
Stock Market ◽  
Housing Market ◽  
Housing Price ◽  
Wealth Effect ◽  
Wealth Effects ◽  
Chinese Stock Market ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
The Status ◽  
Lag Model

In this article, a threshold cointegration test within the framework of Autoregressive Distributed Lag model suggested by Li and Lee (2010) was employed to quantify the wealth effects in Chinese stock market and domestic housing market. The time-varying features of wealth effects in these two markets were investigated through rolling regression test. The empirical results show that the substitute effect exists in the status of strong market while the wealth effect exists in the status of weak market. It is noteworthy that the wealth effect in the stock market shows an increasing trend while the wealth effect in the housing market reveals a stable trend. The policy implication is that the authority should properly strengthen the regulation in the stock market and curb the rise of housing price when the markets are in the strong status while should increase the disposable income for residents if the markets are in the weak status.

scholarly journals Flight to Quality Existence in the Egyptian Stock Market: An Analysis of Stock Market, Quality Stock and Treasury Bills

2020 ◽  
Vol 9 (2) ◽  
pp. 1
Author(s):  
Doaa Samy Sedeek ◽  
Khairy Elgiziry
Keyword(s):  
Stock Market ◽  
Treasury Bill ◽  
Treasury Bills ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Market Portfolio ◽  
Flight To Quality ◽  
Lag Model ◽  
Quality Stock ◽  
Portfolio Return

This paper examines the existence of the flight to quality phenomenon in the Egyptian stock market and highlights the role of quality stock and Treasury bills in mitigating the risk associated with the falling condition of the stock market. We used the return of market portfolio (EGX30), Treasury bill and quality sorted portfolio from January 2008 to December 2017. We employed the auto regressive distributed lag model (ARDL) to postulate both the co-movement between quality stock return and market portfolio return and the co-movement between Treasury bill return and market portfolio return. Our findings show no existence of flight to quality behavior in the Egyptian stock market, and quality stock is a good diversifier. Whereas, flight to quality behavior exists between the stock market and treasury bills in the crisis periods, and treasury bill can be used as stabilizing investment tool.

Consumer Confidence and Consumer Spending in Brazil: A Nonlinear Autoregressive Distributed Lag Model Analysis

2020 ◽  
pp. 097674791989890
Author(s):  
Sudeshna Ghosh
Keyword(s):  
Stock Market ◽  
Consumer Confidence ◽  
Consumer Expenditure ◽  
Consumer Spending ◽  
Financial Variables ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Nonlinear Autoregressive

The study explores the relationship between consumer confidence, household private consumer expenditure and other related macroeconomic financial variables for Brazil, a major, upper middle, income, Latin American country. It is widely discussed in the literature that the consumer confidence is an initial guide to the future behaviour of the economy based on the consumption path. Thus, a rise in the confidence of the consumer would lead to rising household consumption behaviour, which would percolate to accelerate economic growth. The study uses the nonlinear autoregressive distributed lag model (NARDL) to measure the effects of changes in consumer sentiment on private consumer spending, taking into consideration the significance of other financial variables, namely the rate of interest, stock market index, the exchange rate, inflation and unemployment trends. The study employs monthly data from the 4th month of 1995 to the 10th month of 2018. The bounds test of the NARDL suggests the presence of a cointegrating relationship among the variables. The model estimation affirms the presence of asymmetries in the behaviour of the major explanatory variables. In the short run, there are both positive and negative asymmetric impacts of consumer confidence index (CCI) on consumer expenditure, while the rate of interest has only negative asymmetries. In the long run, unemployment changes, stock market fluctuations, interest rate variation and alterations in the CCI shape the behaviour of consumer spending at the household level in Brazil. So, the consumers are able to perceive the signalling of the future behaviour of the market and contribute through consumption spending. JEL: C22; D12; E21; O54

scholarly journals The Determinants of Tourist Expenditure Per Capita in Thailand: Potential Implications for Sustainable Tourism

2021 ◽  
Vol 13 (12) ◽  
pp. 6550
Author(s):  
Wanvilai Chulaphan ◽  
Jorge Fidel Barahona
Keyword(s):  
Natural Resources ◽  
Sustainable Tourism ◽  
Least Square ◽  
Mass Tourism ◽  
Tourist Destinations ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Per Capita

Tourism authorities in Thailand have consistently pursued profit-seeking mass tourism, resulting in the detriment of the natural resources in major tourist destinations. In response, sustainable tourism projects centered on preserving the environment have been established but neglect the financial needs of tour operators. The objective of this study was to investigate the determinants of tourist expenditure per capita in Thailand using a dataset consisting of 31 countries from 2010 to 2017. The analysis was based on an autoregressive distributed lag model (ARDL) and used a panel estimated generalized least square (ELGS). Generating such knowledge is essential for tourist authorities to develop profitable and sustainable tourism projects in tourist destinations whose natural resources have been affected by profit-seeking tourism. The tourism expenditure per capita is positively affected by word of mouth, income, and the rising prices in other major tourist destinations in Asia. However, it was negatively affected by relative levels of price and corruption. Sustainable tourism projects can be used to develop activities that will help distinguish Thailand from other tourism destinations in Asia. However, in implementing these sustainable tourism initiatives, the mark-up should be minimized to keep tourist prices in Thailand competitive.

scholarly journals Examining Eurozone Crisis and Unemployment Relationship Using Var Models

2013 ◽  
Vol 60 (2) ◽  
pp. 85-92
Author(s):  
Dimitrios Dapontas
Keyword(s):  
Government Spending ◽  
Eurozone Crisis ◽  
Var Models ◽  
Monthly Data ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Negative Effect ◽  
Lag Model ◽  
The Relationship

Abstract This work examines the relationship between the Eurozone crisis and unemployment. We deploy distributed lag model using two binary (Crisis and crisis in another country) along with three (Government spending to GDP, Labor freedom, and urbanization) variables working as a long term factors applied on a six countries set (Cyprus, Greece, Ireland, Italy, Portugal and Spain respectively) spanning the period January1995-May 2012 in order to explain the unemployment change using VAR models on monthly data in contrast to longer frequency analyses. This innovative approach is determining the optimal lag length between unemployment and crises determining the time between turbulence and its effect to unemployment. The results show that optimal lag varies among two and eight months. Two variables seem to have negative effect on unemployment (Government spending to GDP, labor freedom) and one positive (urbanization).

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