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주택시장과 주식시장 사이의 상관관계에 관한 연구

Author
김상배
Journal Title
부동산연구
Publication Year
2018
Summary

This study investigates the effect of macro-finance variables on the correlation between the housing and stock markets using the AG-DCC GARCH model. The results show that negative shocks in both markets increase the correlation, and the term spread negatively affects the correlation while the credit spread positively affects it. This suggests that the two markets have limited hedging potential for each other.

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