The Source of Nonlinear Linkage between U.S. Housing Returns and the Federal Funds Rate

• 발행기관: 한국자료분석학회
• 저자명: Young-Joon Park
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.15 No.1, 77~87쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2013.02.28

영문 초록

This study examines nonlinear variation of U.S. housing market and volatility spillover of the federal funds rate onto housing returns. The discrete wavelet transform is used to decompose the frequency-aggregated raw data into the series at three different frequencies. The existence of plausible volatility effect is investigated by performing EGARCH-filtered nonlinear causality tests in the time-frequency domain. The estimation of a BEKK-MGARCH model reveals the existence of volatility transmission effects at a high frequency, characterized by cyclical periodicity of a two-year horizon or less. It implies that interest rate movement is closely related to housing transaction behavior in the short run. Evidence of strong volatility spillover also provides significant information flows between housing returns and the interest rate.

목차

1. Introduction

2. Estimation Strategy

3. Empirical Analysis

4. Conclusion

References

키워드

Wavelet analysis BEKK-MGARCH model Volatility spillover Housing market