Real Estate, Stock, and Bond Market Nexus: An ARDL Bounds Testing Approach

Byoung-ky Chang and Sung-hoon Sim
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Byoung-ky Chang: Silla University
Sung-hoon Sim: Gyeongju University

Korean Economic Review, 2006, vol. 22, 153-175

Abstract: This paper aims to estimate the long-run and short-run relationships among the Korean real estate, stock and bond markets using the recently developed bounds testing approach. For the entire sample period, our empirical findings are in line with the conventioanl viewpoits: a positive relation between thestock price and land price; a negative relation between the stock price and bond yield; and an inverse relation between the land price and bond yield.

Keywords: Bounds test; Land price; Stock price; Bond yield; ARDL (search for similar items in EconPapers)
JEL-codes: G1 R1 (search for similar items in EconPapers)
Date: 2006
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