Analyzing the Causality and Dependence between Exchange Rate and Real Estate Prices in Boom-and-Bust Markets: Quantile Causality and DCC Copula GARCH Approaches

Analyzing the Causality and Dependence between Exchange Rate and Real Estate Prices in Boom-and-Bust Markets: Quantile Causality and DCC Copula GARCH Approaches

Unlike most previous studies examining the causal relationship and dependence between exchange rates and real estate prices, this study aims to investigate the causal relationship and dependence between these two variables in a boom-and-bust market setting using the panel quantile Granger causality...

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Bibliographic Details
Main Authors: Woraphon Yamaka, Jianxu Liu, Mingyang Li, Paravee Maneejuk, Hai Q. Dinh
Format: Article
Language:English
Published: MDPI AG 2022-03-01
Series:Axioms
Subjects:
OECD
house price
exchange rate
quantile Granger causality
DCC copula GARCH Model
Online Access:https://www.mdpi.com/2075-1680/11/3/113

Internet

https://www.mdpi.com/2075-1680/11/3/113

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