دانلود مقاله ISI انگلیسی شماره 6800
ترجمه فارسی عنوان مقاله

ارتباطات بازار دارایی: مدارک و شواهد از املاک مالی، کالا و دارایی های واقعی

عنوان انگلیسی
Asset market linkages: Evidence from financial, commodity and real estate assets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
6800 2011 12 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 35, Issue 6, June 2011, Pages 1415–1426

ترجمه کلمات کلیدی
- مارکوف سوئیچینگ - ارتباطات دارایی - پرواز به کیفیت -
کلمات کلیدی انگلیسی
Markov switching,Asset linkages,Flight to quality,
پیش نمایش مقاله
پیش نمایش مقاله  ارتباطات بازار دارایی: مدارک و شواهد از املاک مالی، کالا و دارایی های واقعی

We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (US stocks and Treasury bonds), commodities (oil and gold) and real estate assets (US Case–Shiller index). We confirm the existence of two distinct regimes: a “tranquil” regime with periods of economic expansion and a “crisis” regime with periods of economic decline. The tranquil regime is characterized by lower volatility and significantly positive stock returns. During these periods, there is also evidence of a flight from quality – from gold to stocks. By contrast, the crisis regime is characterized by higher volatility and sharply negative stock returns, along with evidence of contagion between stocks, oil and real estate. Furthermore, during these periods, there is strong evidence of a flight to quality – from stocks to Treasury bonds.