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題名 金價、油價與房價互動關係之研究
On the Dynamic Relationship among Gold, Oil and Housing Prices作者 陳昱廷
Chen, Yu Ting貢獻者 林左裕
Lin, Tso Yu
陳昱廷
Chen, Yu Ting關鍵詞 不動產市場
原油市場
黃金市場
聯立方程模型
向量自我迴歸模型
Real estate market
Oil market
Gold market
Simultaneous equation model
Vector auto-regression model日期 2016 上傳時間 13-Sep-2017 16:08:09 (UTC+8) 摘要 Many investors around the world are eager for a better investment chances in the posterior QE era and the current low-yield environment, since global investment behaviors are quite different in real estate markets and macroeconomic situation after the 2008 financial crisis and the 2012 European sovereign debt crisis. In the past, many scholars discussed the important findings in the relations between real estate prices and stock prices, and furthermore they explore the two factors important for the markets – wealth effect and credit effect. If investors want to invest in the stock market or real estate market, they have causal effect. In other words, they have the great impacts on each other. On the other hand, many scholars also discussed the relationship between the stock market and gold market, as well as the stock market and oil market. They also reached the conclusion that gold prices have negative relations with stock prices, and the oil prices may have a correlation with stock prices. Also, the variation in oil and gold prices has changed investors’ confidence and behaviors, having creating noticeable impacts on macroeconomic factors, such as interest and exchange rates. Although many people realize the significance of the relationship between oil, real estate and gold prices, we seldom see research findings among asset prices. This means we can commonly explore the conclusions discussing the relations between macroeconomic factors and real estate markets, stock markets and gold markets, but cannot find a more precise discussion on real estate, oil and gold markets. Therefore, this study wants to explore the relationship among the three markets through simultaneous equation model and vector error correction model. By doing so, we can attain more precise information to predict real estate prices. Additionally, the study may have new findings to use different factors to discuss the projection of real estate prices. In general, Klotz, Lin, and Hsu, (2014) indicated that energy prices and precious metal prices have a significant relationship with monetary policies. Many researchers regard monetary policies as the main factors affecting real estate markets; specifically, commodity markets that may have the combined effects from macroeconomic factors and the stock market as what real estate markets have, and therefore we can utilize the combined effects together to have a different perspective in predicting real estate prices. This study shows that not all oil or gold prices have significant impacts on housing prices following the 2008 financial crisis. The reason for this may be due to the different behaviors and expectations on the housing market and macroeconomic situations in the posterior QE era. Thus, according to the research from Chen and Wu (2010) and Kim and Lee (2013), the following research could further analyze human beings’ expectation on price levels of commodities to explore more effects of people’s behaviors in investment. 參考文獻 Abdalla, I. S. A. and Murinde, V. (1997), “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines”, Applied Financial Economics, vol. 7, February, pp. 25 – 35Ajayi, R. A. and Mougoue M. (1996), “On the Dynamic Relation between Stock Prices and Exchange Rates”, Journal of Financial Research XIX (2), pp. 193 – 207Bartov, E. and Gordon B. M. (1994) “Firm Valuation, Earnings Expectations and the Exchange Rate Exposure Effect”, Journal of Finance, 49, pp. 1755 -1785Bodnar, G. M. and Gentry, W. M., (1993), “Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan and USA”, Journal of International Money and Finance, Elsevier, vol. 12 (1), February, pp. 29 – 45Chang I.F., (2004), “The Macroeconomic Determinants of Stock Price Volatility: Evidence from Taiwan, South Korea, Singapore and Hong Kong”, Master’s Thesis of Department of Economics at Nanhua UniversityChen L. C. and Lee W. H., (1998), “On the Dynamic Relations among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan-Simultaneous Equations Model and Vector Auto-regression Model”, Chinese Finance Journal Chen S. S. and Wu T. M. (2010), “Taiwan’s Exchange Rate and Macroeconomic Policies over the Business Cycle,” Singapore Economic Review, 55(3), 435-57.Chow, E. H., Lee W. Y. and Solt. M. E. (1997), “The Exchange Rate Risk Exposure of Asset Returns”, Journal of American Statistical Association, 74, pp. 427-431Dickey, D. A. and Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica 49, pp. 1057 – 1072Dickey, D. and Fuller W. A., (1979), “Distribution of Estimation for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, 74, pp. 427 -431Dokko, Y, E., Lacayo R. H., A. J. and Lee, D. C., (1990). “Real Estate Income and Value Cycles: A Model of Market Dynamics”, 18 (1), pp. 69 – 95Doughtery A. and Van O. R., (1975), “Inflation, Housing Costs and the Consumer Price Index”, American Economic Review, pp. 269-282Engle, R. F. and Granger C. W. J. (1987), “Co-integration and Error Correction Representative, Estimation and Testing”, Econometrica 55, pp. 987 - 107Fama, E. F. and William S., G., (1977), “Asset Returns and Inflation”, Journal of Financial Economics, pp. 115-146Fama, E. F., (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, 71, pp. 545 – 565Gavin, M., (1989), “The Stock Market and Exchange Rate Dynamics,” Journal of International Money and Finance, 8, pp. 181-200Glascock J. L., (1993), “On the Real Estate Market Efficiency”, Journal of Real Estate Finance and Economics, pp. 55-72Goodman, A, (1988), “An Econometric Model of Housing Price, Permanent Income Tenure Choice, Housing Demand”, Journal of Urban Economics, pp. 327-353Granger, C. W. J. (1981), “Spurious Regression in Econometrics”, Journal of Econometrics, 2, pp. 111-120Grebler L. and Mittelbach F. G. (1979), “The Inflation of House Prices: Its Extent, Causes and Consequences”, Lexington Book, Inc., D. C. Heath & Co. Harris J., (1989), “The Effect of Real Rates of Interest on Housing Prices”, Journal of Real Estate Finance and Economics, pp. 47-60He J. and Lilian K., (1998), “The Foreign Exchange Exposure of Japanese Multinational Corporations”, Journal of Finance, 53, pp. 733-753Hsu Y. T., (1995), “Taipei Shih Chu Che Chai Ka Chia Ko Yu Ku Ka Chia Hu Tung Kuan Hsi – the Empirical Study of Grange Causality ”, Master’s Thesis of Department of Management Science at National Chiao Tung UniversityHuang P. L. and Lin C. C., (1995), “A Study on the Relationship between Housing Price and Macro - Economic Variable”, National Cheng-Chi University Journal, No. 71, pp. 143-160Huang, R.D, Masuilis, R. W and Stoll, H.R, (1996), “Energy Shocks and Financial Markets”, Journal of Futures Markets, 16 (1), pp. 1 – 27Jones, C.M and Kaul, G, (1996), “Oil and Stock Markets”, Journal of Finance 51 (2), pp. 463 – 491Kao F. L., (1996), “Fang Ti Chan Ching Chi Yu Chin Jung Pien Shu Shuo Kung Cheng Ho Kuan His Yen Cheng Chih Yen Chiu ”, Master’s Thesis of Department of Business Administration at National Sun Yat-sen UniversityKau, J. B. and Keenan D., (1981), “On the Theory of Interest Rates, Consumer Durables and the Demand of Housing”, Journal of Urban Economics Kilian, L. and Lewis L. T. (2011), “Does the Fed Respond to Oil Price Shocks?” Economic Journal, 121, 1047-72.Kim J. and Lee J. (2013), “How Important are Inflation Expectations in Driving Asian Inflation?” BIS Paper No. 70f. Available at SSRN: http://ssrn.com/abstract=2249701Kim J. and Lee J. (2013), “How Important are Inflation Expectations in Driving Asian Inflation?” BIS Paper No. 70f. Available at SSRN: http://ssrn.com/abstract=2249701Kim T.W., (1991), “Modeling the Behavior of Real Estate Prices”, Journal of Real Estate Finance and Economics, pp. 273-281Klotz P., Lin T, Y., Hsu S. H., (2016), “Modeling Property Bubble Dynamics in Greece, Ireland, Portugal and Spain”, Journal of European Real Estate Research, Vol.9, No.1, pp.31-43Klotz P., Lin T. Y. and Hsu S. H., (2014), “Global Commodity Prices, Economic Activity and Monetary Policy: The Relevance of China”, Resources Policy, No.42, pp.1-9Lai P. Y., (2003), “Tsung Ching Chi Chi Chieh Tan Tao Fang Ti Chan Shih Chang Yu Tsung Ti Ching Chi Chih Kuan Lien Hsiang”, the 12th collection of the theses of Chinese Society of Housing Studies Li W.H. (1995), “Pu Tung Chan Chih Yu Tse Chu Pu Hui Kuei Mo Shih Chih Chien Li – Shih Cheng Yu Ying Yung ”, Taipei City Banking Journal, Vol. 26, No. 4, pp. 57-64Lin C. C., (1993), “The Relationship between Rents and Prices of Owner-Occupied Housing in Taiwan”, Journal of Real Estate Finance and Economics, pp.373-391Lin T.Y. and Lin Z. H., (2011), “Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economies”, Pacific Basin Finance JournalLin Y. X., (1987), “Taiwan Ti Chu Yu Pin Chia Ko Tiao Cheng Tui Cheng Chuan Shih Chang Ku Piao Chia Ko Ying Hsiang Chih Shih Cheng”, Master’s Thesis of Department of Business Administration at National Cheng Chi UniversityLiu C. H., (1990), “The Integration of the Real Estate Market and the Stock Market”, Some Preliminary Evidence, Journal of Real Estate Finance and Economics, pp. 261-282Liu C. H., Grissom T. V. and Hartzell D. J., “The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolio”, Real Estate Economics, 18(4), pp.453-478Liu J.P. H., (1994), “An Analysis of Real Estate Risk Using the Present Value Model”, Journal of Real Estate Finance and Economics, pp. 5-20Luo N. G., (1990), “Taiwan Fang Ti Chan Ching Chi Yu Ku Ka Chia Hu Tung Kuan His Chih yen Chiu”, Master’s Thesis of Department of Business Administration at National Chung Hsing UniversityManchester, J., (1987), “Inflation and Housing Demand: A New Perspective”, Journal of Urban Economics, pp. 105-125Manule, B., and Pugh A. (2013), “Do Inflation Expectations Currently Pose a Risk to the Economy?” Bank of England Quarterly Bulletin, Second Quarter, 110-21.McDonald, J. G. and Solinick, B. H. (1997), “Valuation and Strategy for Gold Stocks”, Journal of Portfolio Management 4, pp. 9 – 23Mei. J.P., (1995), “The Present Value Model with Time-Varying Discount Rates: Implication for Commercial Property Valuation and Investment Decisions”, Journal of Real Estate Finance and Economics, pp. 119-135Nieh C. C., Lin J.B. and Cheng C. H., (2000), “The Dynamic Relationships between Exchange Rate Volatility and Corporate Earnings of Taiwan`s Exporting Industries”, Review of Securities and Futures Markets, Vol. 12, No. 4, pp. 79-112Oskooee, M. B. and Sohrabian A. (1992), “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics 24, pp. 459-464Papapetrou E. (2001), “Oil Price Shocks, Stock Market Economic Activity and Employment in Greece”, Energy Economic 23, pp. 511 – 532Pesaran M. H. and Shin Y. (1998), “Autoregressive Distributed Lag Modelling Approach to Co-Integration Approach”, Symposium at the Centennial of Ragnar FrischReichart A. K. (1990), “The Impact of Interest Rates, Income and Employment upon Housing Prices”, Journal of Real Estate Finance and Economics, pp. 373-391Robert F. and Chan H. (1998), “A Multifactor Model of Gold Industry Stock Returns Evidence from the Australian Equity Market”, pp. 21 -28Sadorsky P., (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics 21, pp. 449 -469Said E. and Dickey D. A., (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71, 3, pp. 599-607Schwab and Robert (1983), “Real and Nominal Interest rates and the Demand for Housing”, Journal of Urban Economics, pp. 181-195 Sim, A. B. and Jeffrey, A. (1991), “An Examination of the Pricing of Australian Mining Stock”. University of New South Wales, Working Paper.Summers L. H., (1981), “Inflation, the Stock Market, and Owner-Occupied Housing”, NBER Working Paper No. 606, the National Bureau of Economic ResearchSun W. H., (1987), “Chin Jung Chinh Chi Yin Su Yu Ku Ka Chia Kuan Hsi – Taiwan Cheng Chuan Shih Chang Chih Shih Cheng Yen Chiu”, Master’s Thesis of Department of Business Administration at National Chung Hsing UniversityToda, H. Y. and Yamamoto, T. (1995), “Statistical Inference in Vector Auto-regressions with Possibly Integrated Processes. Journal of Econometrics, 66, pp. 225-250Tse, Y., (1999), “Price Discovery and Volatility Spillover in the DJIA Index and Future Market”, The Journal of Futures Markets 19(8), 911 -930Vihang E. and Etienne L., (1985), “International Asset Pricing under Mild Segmentation: Theory and Test”, Journal of Finance, pp. 105-124Wang L. M., (1992), “The Effects of Macroeconomic Factors to Stock Returns”, Master’s Thesis of Department of Management Science at National Chiao Tung University 描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
104266001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104266001 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tso Yu en_US dc.contributor.author (Authors) 陳昱廷 zh_TW dc.contributor.author (Authors) Chen, Yu Ting en_US dc.creator (作者) 陳昱廷 zh_TW dc.creator (作者) Chen, Yu Ting en_US dc.date (日期) 2016 en_US dc.date.accessioned 13-Sep-2017 16:08:09 (UTC+8) - dc.date.available 13-Sep-2017 16:08:09 (UTC+8) - dc.date.issued (上傳時間) 13-Sep-2017 16:08:09 (UTC+8) - dc.identifier (Other Identifiers) G0104266001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112843 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES) zh_TW dc.description (描述) 104266001 zh_TW dc.description.abstract (摘要) Many investors around the world are eager for a better investment chances in the posterior QE era and the current low-yield environment, since global investment behaviors are quite different in real estate markets and macroeconomic situation after the 2008 financial crisis and the 2012 European sovereign debt crisis. In the past, many scholars discussed the important findings in the relations between real estate prices and stock prices, and furthermore they explore the two factors important for the markets – wealth effect and credit effect. If investors want to invest in the stock market or real estate market, they have causal effect. In other words, they have the great impacts on each other. On the other hand, many scholars also discussed the relationship between the stock market and gold market, as well as the stock market and oil market. They also reached the conclusion that gold prices have negative relations with stock prices, and the oil prices may have a correlation with stock prices. Also, the variation in oil and gold prices has changed investors’ confidence and behaviors, having creating noticeable impacts on macroeconomic factors, such as interest and exchange rates. Although many people realize the significance of the relationship between oil, real estate and gold prices, we seldom see research findings among asset prices. This means we can commonly explore the conclusions discussing the relations between macroeconomic factors and real estate markets, stock markets and gold markets, but cannot find a more precise discussion on real estate, oil and gold markets. Therefore, this study wants to explore the relationship among the three markets through simultaneous equation model and vector error correction model. By doing so, we can attain more precise information to predict real estate prices. Additionally, the study may have new findings to use different factors to discuss the projection of real estate prices. In general, Klotz, Lin, and Hsu, (2014) indicated that energy prices and precious metal prices have a significant relationship with monetary policies. Many researchers regard monetary policies as the main factors affecting real estate markets; specifically, commodity markets that may have the combined effects from macroeconomic factors and the stock market as what real estate markets have, and therefore we can utilize the combined effects together to have a different perspective in predicting real estate prices. This study shows that not all oil or gold prices have significant impacts on housing prices following the 2008 financial crisis. The reason for this may be due to the different behaviors and expectations on the housing market and macroeconomic situations in the posterior QE era. Thus, according to the research from Chen and Wu (2010) and Kim and Lee (2013), the following research could further analyze human beings’ expectation on price levels of commodities to explore more effects of people’s behaviors in investment. en_US dc.description.tableofcontents 1. Introduction 61.1 Background and Motivation 61.2 Purpose 101.3 Framework and Procedure 111.3.1 Framework 111.4 Research Object, Period and Sources 121.4.1 Research Objective 121.4.2 Research Period 122. Literature Review 133. Methodology 223.1 Simultaneous Equation Model 223.2 Unit Root Test 233.2.1 Augmented Dicky-Fuller (ADF) Unit Root Test 233.2.2 Phillips-Perron (PP) Unit Root Test 243.2 Vector Auto regression 253.3 Co-integration Test 263.4 Vector Error Correction Model (VECM) 283.5 Granger Causality Test 293.6 Impulse Response Analysis 303.7 Forecast Error Variance Decomposition 304. Empirical Results and Analysis 324.1 Descriptive Data and Fundamental Statistic Test 324.1 ADF Unit Root Tests and Simultaneous Equation Models 374.2 Co-integration Test and Lag Length Selection 384.4 Impulse Response Analysis 434.5 Granger Causality Test 464.6 Variance Decomposition 485. Conclusion and Recommendation 516. Reference 55 zh_TW dc.format.extent 1349809 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104266001 en_US dc.subject (關鍵詞) 不動產市場 zh_TW dc.subject (關鍵詞) 原油市場 zh_TW dc.subject (關鍵詞) 黃金市場 zh_TW dc.subject (關鍵詞) 聯立方程模型 zh_TW dc.subject (關鍵詞) 向量自我迴歸模型 zh_TW dc.subject (關鍵詞) Real estate market en_US dc.subject (關鍵詞) Oil market en_US dc.subject (關鍵詞) Gold market en_US dc.subject (關鍵詞) Simultaneous equation model en_US dc.subject (關鍵詞) Vector auto-regression model en_US dc.title (題名) 金價、油價與房價互動關係之研究 zh_TW dc.title (題名) On the Dynamic Relationship among Gold, Oil and Housing Prices en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abdalla, I. S. A. and Murinde, V. (1997), “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines”, Applied Financial Economics, vol. 7, February, pp. 25 – 35Ajayi, R. A. and Mougoue M. (1996), “On the Dynamic Relation between Stock Prices and Exchange Rates”, Journal of Financial Research XIX (2), pp. 193 – 207Bartov, E. and Gordon B. M. (1994) “Firm Valuation, Earnings Expectations and the Exchange Rate Exposure Effect”, Journal of Finance, 49, pp. 1755 -1785Bodnar, G. M. and Gentry, W. M., (1993), “Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan and USA”, Journal of International Money and Finance, Elsevier, vol. 12 (1), February, pp. 29 – 45Chang I.F., (2004), “The Macroeconomic Determinants of Stock Price Volatility: Evidence from Taiwan, South Korea, Singapore and Hong Kong”, Master’s Thesis of Department of Economics at Nanhua UniversityChen L. C. and Lee W. H., (1998), “On the Dynamic Relations among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan-Simultaneous Equations Model and Vector Auto-regression Model”, Chinese Finance Journal Chen S. S. and Wu T. M. (2010), “Taiwan’s Exchange Rate and Macroeconomic Policies over the Business Cycle,” Singapore Economic Review, 55(3), 435-57.Chow, E. H., Lee W. Y. and Solt. M. E. (1997), “The Exchange Rate Risk Exposure of Asset Returns”, Journal of American Statistical Association, 74, pp. 427-431Dickey, D. A. and Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica 49, pp. 1057 – 1072Dickey, D. and Fuller W. A., (1979), “Distribution of Estimation for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, 74, pp. 427 -431Dokko, Y, E., Lacayo R. H., A. J. and Lee, D. C., (1990). “Real Estate Income and Value Cycles: A Model of Market Dynamics”, 18 (1), pp. 69 – 95Doughtery A. and Van O. R., (1975), “Inflation, Housing Costs and the Consumer Price Index”, American Economic Review, pp. 269-282Engle, R. F. and Granger C. W. J. (1987), “Co-integration and Error Correction Representative, Estimation and Testing”, Econometrica 55, pp. 987 - 107Fama, E. F. and William S., G., (1977), “Asset Returns and Inflation”, Journal of Financial Economics, pp. 115-146Fama, E. F., (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, 71, pp. 545 – 565Gavin, M., (1989), “The Stock Market and Exchange Rate Dynamics,” Journal of International Money and Finance, 8, pp. 181-200Glascock J. L., (1993), “On the Real Estate Market Efficiency”, Journal of Real Estate Finance and Economics, pp. 55-72Goodman, A, (1988), “An Econometric Model of Housing Price, Permanent Income Tenure Choice, Housing Demand”, Journal of Urban Economics, pp. 327-353Granger, C. W. J. (1981), “Spurious Regression in Econometrics”, Journal of Econometrics, 2, pp. 111-120Grebler L. and Mittelbach F. G. (1979), “The Inflation of House Prices: Its Extent, Causes and Consequences”, Lexington Book, Inc., D. C. Heath & Co. Harris J., (1989), “The Effect of Real Rates of Interest on Housing Prices”, Journal of Real Estate Finance and Economics, pp. 47-60He J. and Lilian K., (1998), “The Foreign Exchange Exposure of Japanese Multinational Corporations”, Journal of Finance, 53, pp. 733-753Hsu Y. T., (1995), “Taipei Shih Chu Che Chai Ka Chia Ko Yu Ku Ka Chia Hu Tung Kuan Hsi – the Empirical Study of Grange Causality ”, Master’s Thesis of Department of Management Science at National Chiao Tung UniversityHuang P. L. and Lin C. C., (1995), “A Study on the Relationship between Housing Price and Macro - Economic Variable”, National Cheng-Chi University Journal, No. 71, pp. 143-160Huang, R.D, Masuilis, R. W and Stoll, H.R, (1996), “Energy Shocks and Financial Markets”, Journal of Futures Markets, 16 (1), pp. 1 – 27Jones, C.M and Kaul, G, (1996), “Oil and Stock Markets”, Journal of Finance 51 (2), pp. 463 – 491Kao F. L., (1996), “Fang Ti Chan Ching Chi Yu Chin Jung Pien Shu Shuo Kung Cheng Ho Kuan His Yen Cheng Chih Yen Chiu ”, Master’s Thesis of Department of Business Administration at National Sun Yat-sen UniversityKau, J. B. and Keenan D., (1981), “On the Theory of Interest Rates, Consumer Durables and the Demand of Housing”, Journal of Urban Economics Kilian, L. and Lewis L. T. (2011), “Does the Fed Respond to Oil Price Shocks?” Economic Journal, 121, 1047-72.Kim J. and Lee J. (2013), “How Important are Inflation Expectations in Driving Asian Inflation?” BIS Paper No. 70f. Available at SSRN: http://ssrn.com/abstract=2249701Kim J. and Lee J. (2013), “How Important are Inflation Expectations in Driving Asian Inflation?” BIS Paper No. 70f. Available at SSRN: http://ssrn.com/abstract=2249701Kim T.W., (1991), “Modeling the Behavior of Real Estate Prices”, Journal of Real Estate Finance and Economics, pp. 273-281Klotz P., Lin T, Y., Hsu S. H., (2016), “Modeling Property Bubble Dynamics in Greece, Ireland, Portugal and Spain”, Journal of European Real Estate Research, Vol.9, No.1, pp.31-43Klotz P., Lin T. Y. and Hsu S. H., (2014), “Global Commodity Prices, Economic Activity and Monetary Policy: The Relevance of China”, Resources Policy, No.42, pp.1-9Lai P. Y., (2003), “Tsung Ching Chi Chi Chieh Tan Tao Fang Ti Chan Shih Chang Yu Tsung Ti Ching Chi Chih Kuan Lien Hsiang”, the 12th collection of the theses of Chinese Society of Housing Studies Li W.H. (1995), “Pu Tung Chan Chih Yu Tse Chu Pu Hui Kuei Mo Shih Chih Chien Li – Shih Cheng Yu Ying Yung ”, Taipei City Banking Journal, Vol. 26, No. 4, pp. 57-64Lin C. C., (1993), “The Relationship between Rents and Prices of Owner-Occupied Housing in Taiwan”, Journal of Real Estate Finance and Economics, pp.373-391Lin T.Y. and Lin Z. H., (2011), “Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economies”, Pacific Basin Finance JournalLin Y. X., (1987), “Taiwan Ti Chu Yu Pin Chia Ko Tiao Cheng Tui Cheng Chuan Shih Chang Ku Piao Chia Ko Ying Hsiang Chih Shih Cheng”, Master’s Thesis of Department of Business Administration at National Cheng Chi UniversityLiu C. H., (1990), “The Integration of the Real Estate Market and the Stock Market”, Some Preliminary Evidence, Journal of Real Estate Finance and Economics, pp. 261-282Liu C. H., Grissom T. V. and Hartzell D. J., “The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolio”, Real Estate Economics, 18(4), pp.453-478Liu J.P. H., (1994), “An Analysis of Real Estate Risk Using the Present Value Model”, Journal of Real Estate Finance and Economics, pp. 5-20Luo N. G., (1990), “Taiwan Fang Ti Chan Ching Chi Yu Ku Ka Chia Hu Tung Kuan His Chih yen Chiu”, Master’s Thesis of Department of Business Administration at National Chung Hsing UniversityManchester, J., (1987), “Inflation and Housing Demand: A New Perspective”, Journal of Urban Economics, pp. 105-125Manule, B., and Pugh A. (2013), “Do Inflation Expectations Currently Pose a Risk to the Economy?” Bank of England Quarterly Bulletin, Second Quarter, 110-21.McDonald, J. G. and Solinick, B. H. (1997), “Valuation and Strategy for Gold Stocks”, Journal of Portfolio Management 4, pp. 9 – 23Mei. J.P., (1995), “The Present Value Model with Time-Varying Discount Rates: Implication for Commercial Property Valuation and Investment Decisions”, Journal of Real Estate Finance and Economics, pp. 119-135Nieh C. C., Lin J.B. and Cheng C. H., (2000), “The Dynamic Relationships between Exchange Rate Volatility and Corporate Earnings of Taiwan`s Exporting Industries”, Review of Securities and Futures Markets, Vol. 12, No. 4, pp. 79-112Oskooee, M. B. and Sohrabian A. (1992), “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics 24, pp. 459-464Papapetrou E. (2001), “Oil Price Shocks, Stock Market Economic Activity and Employment in Greece”, Energy Economic 23, pp. 511 – 532Pesaran M. H. and Shin Y. (1998), “Autoregressive Distributed Lag Modelling Approach to Co-Integration Approach”, Symposium at the Centennial of Ragnar FrischReichart A. K. (1990), “The Impact of Interest Rates, Income and Employment upon Housing Prices”, Journal of Real Estate Finance and Economics, pp. 373-391Robert F. and Chan H. (1998), “A Multifactor Model of Gold Industry Stock Returns Evidence from the Australian Equity Market”, pp. 21 -28Sadorsky P., (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics 21, pp. 449 -469Said E. and Dickey D. A., (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71, 3, pp. 599-607Schwab and Robert (1983), “Real and Nominal Interest rates and the Demand for Housing”, Journal of Urban Economics, pp. 181-195 Sim, A. B. and Jeffrey, A. (1991), “An Examination of the Pricing of Australian Mining Stock”. University of New South Wales, Working Paper.Summers L. H., (1981), “Inflation, the Stock Market, and Owner-Occupied Housing”, NBER Working Paper No. 606, the National Bureau of Economic ResearchSun W. H., (1987), “Chin Jung Chinh Chi Yin Su Yu Ku Ka Chia Kuan Hsi – Taiwan Cheng Chuan Shih Chang Chih Shih Cheng Yen Chiu”, Master’s Thesis of Department of Business Administration at National Chung Hsing UniversityToda, H. Y. and Yamamoto, T. (1995), “Statistical Inference in Vector Auto-regressions with Possibly Integrated Processes. Journal of Econometrics, 66, pp. 225-250Tse, Y., (1999), “Price Discovery and Volatility Spillover in the DJIA Index and Future Market”, The Journal of Futures Markets 19(8), 911 -930Vihang E. and Etienne L., (1985), “International Asset Pricing under Mild Segmentation: Theory and Test”, Journal of Finance, pp. 105-124Wang L. M., (1992), “The Effects of Macroeconomic Factors to Stock Returns”, Master’s Thesis of Department of Management Science at National Chiao Tung University zh_TW
