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題名 黃金、房地產、比特幣與其他總體經濟因素間關係之研究
The Relation of Gold, Real Estate, Bitcoin, and other Macroeconomic Variables作者 勞思恩
Lao, Grace Szu-En貢獻者 林左裕
Lin, Tsoyu Calvin
勞思恩
Grace Szu-En Lao關鍵詞 共整合
投資組合管理
黃金
房地產市場
比特幣
總 體經濟因素
Cointegration
Portfolio Management
Gold
Real Estate Market
Bitcoin
Macroeconomic Indices日期 2023 上傳時間 1-Sep-2023 16:12:42 (UTC+8) 摘要 許多研究致力於探討股票、房地產、黃金和總體經濟因素之間的關 係。本研究利用經典的共整合測試和模型，包括 Johansen 共整合測 試、Granger 因果關係測試、向量誤差修正模型以及預測誤差脈衝響 應函數，試圖填補文獻中的空白，引入比特幣作為研究對象。本研 究對黃金、房地產、比特幣、股票和總體經濟因素的月度數據進行 了多個共整合測試的分析。結果顯示，比特幣在長期中對黃金和房 價指數具有單向領先效應，並且房價指數對黃金也具有單向領先效 應。預測誤差脈衝響應顯示，黃金和房價指數的震盪對比特幣具有 積極影響。
Many studies have been dedicated to examining the relationships between stocks, real estate, gold and macroeconomic variables. By utilizing classic cointegration tests and models, including the Johansen Cointegration test, Granger-Causality test, Vector Error Correction Models, and Forecast Error Impulse Response Function for analysis, this study attempts to fill in the gap in literature by introducing Bitcoin to the mix. Monthly data on gold, real estate, Bitcoin, stock, and macroeconomic variables undergo analysis in multiple cointegration tests. Results suggest that Bitcoin has a unidirectional leading effect from both gold and house prices in the longrun and a unidirectional leading effect from house prices to gold. The forecast error impulse response shows that shocks from both gold and house prices are found to have positive impacts on BTC.參考文獻 References Aiello D., Balyuk T., Maggio M. D., Johnson M. J., Baker S. R., Kotter J. D. (2023) The Effects of Cryptocurrency Wealth on Household Consumption and Investment. Available at http://dx.doi.org/10.2139/ssrn.4455756 Apergis N., Lamprinidis L. (2011) More Evidence on the Relationship between the Stock and the Real Estate Market. University of Piraes Aye G. C., Chang T., Gupta R. (2016) Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. Resources Policy, Volume 48, Pages 77-84, ISSN 0301-4207 Bhuiyan E. M., Chowdhury M. (2020) Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada, The Quarterly Review of Economics and Finance, Volume 77, Pages 62-74, ISSN 1062-9769 Blau B. M., Griffith T. G., Whitby R. J. (2021) Inflation and Bitcoin: A descriptive time-series analysis, Economics Letters, Volume 203, 109848, ISSN 0165-1765 Bouri E., Azzi G., Dyhrberg A. H. (2017) "On the return-volatility relationship in the Bitcoin market around the price crash of 2013" Economics, vol. 11, no. 1, pp. 2. https://doi.org/10.5018/economics-ejournal.ja.2017-2 Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L. I. (2017) “On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198. ISSN 1544-6123 Carroll C. D., Otsuka M., Slacalek J. (2010) How Large Are Housing and Financial Wealth Effects? A New Approach. Journal of Money, Credit and Banking. 43. 55-79. 10.2307/20870039 Case K. E., Quigley J. M., Shiller R. J. (2006) "Comparing Wealth Effects: The Stock Market versus the Housing Market," Advances in Macroeconomics, Berkeley Electronic Press, vol. 5(1), pages 1235-1235 Case K. E., Quigley J. M., Shiller R. J. (2011) Wealth Effects Revisited 1978-2009. Cowles Foundation Discussion Paper No. 1784, http://dx.doi.org/10.2139/ssrn.1766604 37 Chodorow-Reich G., Nenov P. T., Simsek, A. (2021) "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," American Economic Review, American Economic Association, vol. 111(5), pages 1613-1657 Choi S., Shin J. (2022) Bitcoin: An inflation hedge but not a safe haven. Finance Research Letters, Volume 46, Part B, 102379, ISSN 1544-6123 Corbet, S., Larkin, C., Lucey, B., Meegan, A. and Yarovaya, L. (2018) “Exploring the dynamic relationships between cryptocurrencies and other financial assets”, Economics Letters, Vol. 165 No. 1, pp. 28-34 David A. Dickey, Wayne A. Fuller (1979) Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431 Demary M., Voigtländer M. (2009) The Inflation Hedging Properties of Real Estate: A Comparison between Direct Investments and Equity Returns. Research Center for Real Estate Economics Engle R. F., Granger C. W. J. (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, Vol. 55, No. 2 (Mar., 1987), pp. 251-276 Gan C., Lee M., Yong H., Zhang J. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, Volume 3, Pages 89-101 Ghosh D., Levin E. J., Macmillan P., Wright R. E. (2004) Gold as an Inflation Hedge? Studies in Economics and Finance, ISSN: 1086-7376 Granger, C.W.J. (1969). Investigating causal relations by econometrics models and cross spectral methods. Econometrica 37, 424–43 Humpe A., Macmillan P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics, 19:2, 111-119, DOI: 10.1080/09603100701748956 Ivanov V. and Kilian L. (2001) A practitioner’s guide to lag-order selection for vector autoregressions. CEPR Discussion Papers, 2685 38 Johansen S. (1995) Likelihood−based inference in cointegrated vector autoregressive models. Oxford University Press, Oxford (United Kingdom) Kaponda, K. Bitcoin the ’Digital Gold’ and Its Regulatory Challenges. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3123531 (Accessed June 14th , 2023) Kogan S., Makarov I., Niessner M., Schoar A. (2023) Are Cryptos Different? Evidence from Retail Trading. MIT Sloan Research Paper No. 6831-22, http://dx.doi.org/10.2139/ssrn.4289513 Kristoufek L. (2015) What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. https://doi.org/10.1371/journal.pone.0123923 Lin T. C, Lin Z. H. (2011) Are stock and real estate markets integrated? An empirical study of six Asian economies. Pacific-Basin Finance Journal, Volume 19, Issue 5, Pages 571-585, ISSN 0927-538X Lütkepohl, H. (2007) New introduction to multiple time series analysis (2nd ed.). Berlin: Springer Mohr F. X. (2020) An Introduction to Impulse Response Analysis of VAR Models. REconomics. Accessed June 19, 2023 at https://www.reconometrics.com/timeseries/irf/ Muckenhaupt J., Hoesli M., Zhu B. (2023) Listed Real Estate as an Inflation Hedge across Regimes. Swiss Finance Institute Research Paper No. 23-13. http://dx.doi.org/10.2139/ssrn.4362134 Nakamoto S. (2008) “Bitcoin: a peer-to-peer electronic cash system”, found at: https://bitcoin.org/bitcoin.pdf Nasseh A., Strauss J. (2000) Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance, Volume 40, Issue 2, Pages 229-245, ISSN 1062-9769 Phochanachan P., Pirabun N., Leurcharusmee S., Yamaka W. (2022) Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries. Axioms. 39 11(7):339. https://doi.org/10.3390/axioms11070339 Ratanapakorn O., Sharma S. C. (2007) Dynamic analysis between the US stock returns and the macroeconomic variables, Applied Financial Economics, 17:5, 369- 377, DOI: 10.1080/09603100600638944 Sahu T. (2016) Macroeconomic Variables and Security Prices in India during the Liberalized Period. 10.1057/9781137492012 Shahzad S. J. H., Bouri E., Roubaud D., Kristoufek L., Lucey B. (2019) Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, Volume 63, Pages 322-330, ISSN 1057-5219 Simpson, M.W., Ramchander, S., Webb, J.R. (2007) The Asymmetric Response of Equity REIT Returns to Inflation. J Real Estate Finan Econ 34, 513–529. https://doi.org/10.1007/s11146-007-9023-0 Tarbert H. (1996) Is commercial property a hedge against inflation? A cointegration approach. Journal of Property Finance, Vol. 7 No. 1, Pages 77-98. https://doi.org/10.1108/09588689610111638 Thaker H. M. T., Mand A. A. (2021) Bitcoin and stock markets: a revisit of relationship. Journal of Derivatives and Quantitative Studies: 선물연구 Vol. 29 No. 3, 2021 pp. 234-256. ISSN: 1229-988X TripleA. Global Crypto Ownership Data. Accessed on July 23rd, 2023 at https://triplea.io/crypto-ownership-data/ Tulcanaza-Prieto A. B. (2018) Bitcoin: Its influence on the global World and its relationship with the stock exchange. Chakiñan Revista de Ciencias Sociales y Humanidades (pp.54-72). Universidad Nacional de Chimborazo Virenrehal (2022) Vector Error Correction (VECM) and VAR: Theory. Spureconomics. Accessed June 16, 2023 at https://spureconomics.com/vector-errorcorrection-vecm-theory/ Wang M. L., Wang C. P., Huang T. Y. (2010) Relationships among Oil Price, Gold Price, exchange rate and International Stock Markets. International Research Journal of Finance and Economics, Pages 80-89 40 Wang P, Liu X, Wu S. (2022) Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies. Entropy; 24(11):1565. Yunus N. (2020) Time-varying linkages among gold, stocks, bonds and real estate. The Quarterly Review of Economics and Finance, Volume 77, Pages 165-185, ISSN 1062-9769 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)
110266002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110266002 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tsoyu Calvin en_US dc.contributor.author (Authors) 勞思恩 zh_TW dc.contributor.author (Authors) Grace Szu-En Lao en_US dc.creator (作者) 勞思恩 zh_TW dc.creator (作者) Lao, Grace Szu-En en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Sep-2023 16:12:42 (UTC+8) - dc.date.available 1-Sep-2023 16:12:42 (UTC+8) - dc.date.issued (上傳時間) 1-Sep-2023 16:12:42 (UTC+8) - dc.identifier (Other Identifiers) G0110266002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147234 - 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) 110266002 zh_TW dc.description.abstract (摘要) 許多研究致力於探討股票、房地產、黃金和總體經濟因素之間的關 係。本研究利用經典的共整合測試和模型，包括 Johansen 共整合測 試、Granger 因果關係測試、向量誤差修正模型以及預測誤差脈衝響 應函數，試圖填補文獻中的空白，引入比特幣作為研究對象。本研 究對黃金、房地產、比特幣、股票和總體經濟因素的月度數據進行 了多個共整合測試的分析。結果顯示，比特幣在長期中對黃金和房 價指數具有單向領先效應，並且房價指數對黃金也具有單向領先效 應。預測誤差脈衝響應顯示，黃金和房價指數的震盪對比特幣具有 積極影響。 zh_TW dc.description.abstract (摘要) Many studies have been dedicated to examining the relationships between stocks, real estate, gold and macroeconomic variables. By utilizing classic cointegration tests and models, including the Johansen Cointegration test, Granger-Causality test, Vector Error Correction Models, and Forecast Error Impulse Response Function for analysis, this study attempts to fill in the gap in literature by introducing Bitcoin to the mix. Monthly data on gold, real estate, Bitcoin, stock, and macroeconomic variables undergo analysis in multiple cointegration tests. Results suggest that Bitcoin has a unidirectional leading effect from both gold and house prices in the longrun and a unidirectional leading effect from house prices to gold. The forecast error impulse response shows that shocks from both gold and house prices are found to have positive impacts on BTC. en_US dc.description.tableofcontents Table of Contents Acknowledgements iii Abstract iv List of Tables vii List of Figures vii Chapter 1. Introduction 1 Chapter 2. Theory and Literature Review 3 Chapter 3. Research Method 8 3.1 Unit Root Test 8 3.2 Cointegration Test 9 3.2.1 Lag 9 3.2.2 Johansen Cointegration 9 3.3 Granger-Causality Test 10 3.4 Vector Error Correction Model (VECM) 11 3.5 Forecast Error Impulse Response (FEIR) 12 Chapter 4. Data and Empirical Results 13 4.1 Descriptive Statistics 13 4.2 Data 13 4.2.1 Gold 16 4.2.2 Real Estate 16 4.2.3 Bitcoin 16 4.3 Unit Root Test 17 4.4 Cointegration Test 18 4.5 Granger-Causality Test 20 4.6 Vector Error Correction Model (VECM) 23 4.7 Forecast Error Impulse Response (FEIR) 25 5. Conclusion 32 5.1 Gold and Bitcoin 32 5.2 Real Estate and Gold 33 5.3 Bitcoin and Real Estate 33 References 36 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110266002 en_US dc.subject (關鍵詞) 共整合 zh_TW dc.subject (關鍵詞) 投資組合管理 zh_TW dc.subject (關鍵詞) 黃金 zh_TW dc.subject (關鍵詞) 房地產市場 zh_TW dc.subject (關鍵詞) 比特幣 zh_TW dc.subject (關鍵詞) 總 體經濟因素 zh_TW dc.subject (關鍵詞) Cointegration en_US dc.subject (關鍵詞) Portfolio Management en_US dc.subject (關鍵詞) Gold en_US dc.subject (關鍵詞) Real Estate Market en_US dc.subject (關鍵詞) Bitcoin en_US dc.subject (關鍵詞) Macroeconomic Indices en_US dc.title (題名) 黃金、房地產、比特幣與其他總體經濟因素間關係之研究 zh_TW dc.title (題名) The Relation of Gold, Real Estate, Bitcoin, and other Macroeconomic Variables en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) References Aiello D., Balyuk T., Maggio M. D., Johnson M. J., Baker S. R., Kotter J. D. (2023) The Effects of Cryptocurrency Wealth on Household Consumption and Investment. Available at http://dx.doi.org/10.2139/ssrn.4455756 Apergis N., Lamprinidis L. (2011) More Evidence on the Relationship between the Stock and the Real Estate Market. University of Piraes Aye G. C., Chang T., Gupta R. (2016) Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. Resources Policy, Volume 48, Pages 77-84, ISSN 0301-4207 Bhuiyan E. M., Chowdhury M. (2020) Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada, The Quarterly Review of Economics and Finance, Volume 77, Pages 62-74, ISSN 1062-9769 Blau B. M., Griffith T. G., Whitby R. J. (2021) Inflation and Bitcoin: A descriptive time-series analysis, Economics Letters, Volume 203, 109848, ISSN 0165-1765 Bouri E., Azzi G., Dyhrberg A. H. (2017) "On the return-volatility relationship in the Bitcoin market around the price crash of 2013" Economics, vol. 11, no. 1, pp. 2. https://doi.org/10.5018/economics-ejournal.ja.2017-2 Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L. I. (2017) “On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198. ISSN 1544-6123 Carroll C. D., Otsuka M., Slacalek J. (2010) How Large Are Housing and Financial Wealth Effects? A New Approach. Journal of Money, Credit and Banking. 43. 55-79. 10.2307/20870039 Case K. E., Quigley J. M., Shiller R. J. (2006) "Comparing Wealth Effects: The Stock Market versus the Housing Market," Advances in Macroeconomics, Berkeley Electronic Press, vol. 5(1), pages 1235-1235 Case K. E., Quigley J. M., Shiller R. J. (2011) Wealth Effects Revisited 1978-2009. Cowles Foundation Discussion Paper No. 1784, http://dx.doi.org/10.2139/ssrn.1766604 37 Chodorow-Reich G., Nenov P. T., Simsek, A. (2021) "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," American Economic Review, American Economic Association, vol. 111(5), pages 1613-1657 Choi S., Shin J. (2022) Bitcoin: An inflation hedge but not a safe haven. Finance Research Letters, Volume 46, Part B, 102379, ISSN 1544-6123 Corbet, S., Larkin, C., Lucey, B., Meegan, A. and Yarovaya, L. (2018) “Exploring the dynamic relationships between cryptocurrencies and other financial assets”, Economics Letters, Vol. 165 No. 1, pp. 28-34 David A. Dickey, Wayne A. Fuller (1979) Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431 Demary M., Voigtländer M. (2009) The Inflation Hedging Properties of Real Estate: A Comparison between Direct Investments and Equity Returns. Research Center for Real Estate Economics Engle R. F., Granger C. W. J. (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, Vol. 55, No. 2 (Mar., 1987), pp. 251-276 Gan C., Lee M., Yong H., Zhang J. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, Volume 3, Pages 89-101 Ghosh D., Levin E. J., Macmillan P., Wright R. E. (2004) Gold as an Inflation Hedge? Studies in Economics and Finance, ISSN: 1086-7376 Granger, C.W.J. (1969). Investigating causal relations by econometrics models and cross spectral methods. Econometrica 37, 424–43 Humpe A., Macmillan P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics, 19:2, 111-119, DOI: 10.1080/09603100701748956 Ivanov V. and Kilian L. (2001) A practitioner’s guide to lag-order selection for vector autoregressions. CEPR Discussion Papers, 2685 38 Johansen S. (1995) Likelihood−based inference in cointegrated vector autoregressive models. Oxford University Press, Oxford (United Kingdom) Kaponda, K. Bitcoin the ’Digital Gold’ and Its Regulatory Challenges. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3123531 (Accessed June 14th , 2023) Kogan S., Makarov I., Niessner M., Schoar A. (2023) Are Cryptos Different? Evidence from Retail Trading. MIT Sloan Research Paper No. 6831-22, http://dx.doi.org/10.2139/ssrn.4289513 Kristoufek L. (2015) What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. https://doi.org/10.1371/journal.pone.0123923 Lin T. C, Lin Z. H. (2011) Are stock and real estate markets integrated? An empirical study of six Asian economies. Pacific-Basin Finance Journal, Volume 19, Issue 5, Pages 571-585, ISSN 0927-538X Lütkepohl, H. (2007) New introduction to multiple time series analysis (2nd ed.). Berlin: Springer Mohr F. X. (2020) An Introduction to Impulse Response Analysis of VAR Models. REconomics. Accessed June 19, 2023 at https://www.reconometrics.com/timeseries/irf/ Muckenhaupt J., Hoesli M., Zhu B. (2023) Listed Real Estate as an Inflation Hedge across Regimes. Swiss Finance Institute Research Paper No. 23-13. http://dx.doi.org/10.2139/ssrn.4362134 Nakamoto S. (2008) “Bitcoin: a peer-to-peer electronic cash system”, found at: https://bitcoin.org/bitcoin.pdf Nasseh A., Strauss J. (2000) Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance, Volume 40, Issue 2, Pages 229-245, ISSN 1062-9769 Phochanachan P., Pirabun N., Leurcharusmee S., Yamaka W. (2022) Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries. Axioms. 39 11(7):339. https://doi.org/10.3390/axioms11070339 Ratanapakorn O., Sharma S. C. (2007) Dynamic analysis between the US stock returns and the macroeconomic variables, Applied Financial Economics, 17:5, 369- 377, DOI: 10.1080/09603100600638944 Sahu T. (2016) Macroeconomic Variables and Security Prices in India during the Liberalized Period. 10.1057/9781137492012 Shahzad S. J. H., Bouri E., Roubaud D., Kristoufek L., Lucey B. (2019) Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, Volume 63, Pages 322-330, ISSN 1057-5219 Simpson, M.W., Ramchander, S., Webb, J.R. (2007) The Asymmetric Response of Equity REIT Returns to Inflation. J Real Estate Finan Econ 34, 513–529. https://doi.org/10.1007/s11146-007-9023-0 Tarbert H. (1996) Is commercial property a hedge against inflation? A cointegration approach. Journal of Property Finance, Vol. 7 No. 1, Pages 77-98. https://doi.org/10.1108/09588689610111638 Thaker H. M. T., Mand A. A. (2021) Bitcoin and stock markets: a revisit of relationship. Journal of Derivatives and Quantitative Studies: 선물연구 Vol. 29 No. 3, 2021 pp. 234-256. ISSN: 1229-988X TripleA. Global Crypto Ownership Data. Accessed on July 23rd, 2023 at https://triplea.io/crypto-ownership-data/ Tulcanaza-Prieto A. B. (2018) Bitcoin: Its influence on the global World and its relationship with the stock exchange. Chakiñan Revista de Ciencias Sociales y Humanidades (pp.54-72). Universidad Nacional de Chimborazo Virenrehal (2022) Vector Error Correction (VECM) and VAR: Theory. Spureconomics. Accessed June 16, 2023 at https://spureconomics.com/vector-errorcorrection-vecm-theory/ Wang M. L., Wang C. P., Huang T. Y. (2010) Relationships among Oil Price, Gold Price, exchange rate and International Stock Markets. International Research Journal of Finance and Economics, Pages 80-89 40 Wang P, Liu X, Wu S. (2022) Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies. Entropy; 24(11):1565. Yunus N. (2020) Time-varying linkages among gold, stocks, bonds and real estate. The Quarterly Review of Economics and Finance, Volume 77, Pages 165-185, ISSN 1062-9769 zh_TW
