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- W2200187410 abstract "Using the non-parametric rank tests proposed by Breitung (2001), we set out in this study to determine whether any non-linear long-run equilibrium relationship exists between the stock and real estate markets of China. We go on to adopt the threshold error-correction model (TECM) to determine whether a similar relationship is discernible, possibly non-linear functions of the log-price of these two markets. Our results indicate the existence of a long-run non-linear relationship between the Shenzhen composite index and the real estate price index. In the short run, the Granger causality test favors the ‘wealth effect’ hypothesis; conversely, in the long run, the existence of the ‘credit-price’ effect is discernible above a certain threshold value, whilst the ‘wealth effect’ is apparent below this threshold value, which implies a bi-directional feedback causal relationship. Our empirical results demonstrate that in the long run, the price transmissions between these two markets are non-linear and asymmetric." @default.
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- W2200187410 date "2013-01-01" @default.
- W2200187410 modified "2023-09-22" @default.
- W2200187410 title "Does Wealth or Credit Effect Exist in China" @default.
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