Title page for etd-0801111-030800


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URN etd-0801111-030800
Author Ming-si Sie
Author's Email Address No Public.
Statistics This thesis had been viewed 5350 times. Download 11 times.
Department Finance
Year 2010
Semester 2
Degree Master
Type of Document
Language English
Title Dependence Structure between Real Estate Markets and
Financial Markets in U.S. - A Copula Approach 
Date of Defense 2011-07-01
Page Count 53
Keyword
  • correlation coefficient
  • dynamic copula
  • dependence structure
  • tail dependence
  • real estate
  • Abstract This paper studies the dependence structure between the real estate and financial
    markets in the United States from roughly 1975 to 2010, including the stock, bond
    and foreign exchange markets. This analysis uses dynamic copulas, including the
    Gaussian, Gumbel and Clayton copula. The Gumbel and Clayton copulas are used to
    separately capture the tail dependence of data. The dependence between the property
    indices (HPI and NCREIF) and the three financial markets is analyzed using the
    parameters of the copula. The property indices are divided in two different ways: by
    different regions and by different types of real estate. Although we study the
    dependence between the real estate and the financial markets in the U.S., the main
    objective of this paper is to analyze the change in the dependence structure when
    financial disasters occur.  
    This study indicates that the real estate and the stock markets were positively related
    during this time period, and this dependence drove extreme movement when financial
    crises occurred. This dependence differed depending on the type of financial crisis,
    such as the Internet bubble crisis or the financial crisis in 2008. The dependence
    between the real estate and bond markets was also positively related, and extreme
    movement also occurred during financial crises. As for the dependence between the
    real estate and foreign exchange markets, although the results shows that dependence
    decreased when financial crises occurred, this is because the value of U.S. dollars are
    opposite to those of the index, and the left tail dependence exists as previous result.
    When looking at different regions or types of property, the differences in dependence
    structure were not obvious, although they were positively related. Both right and left
    tail dependences existed for most regions and property types, although some regions
    or types showed either right or left tail dependences alone. Therefore, investors should
    focus on the relationship between different markets, not on the region or type of real
    estate.
    Advisory Committee
  • David S.Shyu - chair
  • I-Chun Tsai - co-chair
  • Ming-Chi Chen - advisor
  • Files
  • etd-0801111-030800.pdf
  • Indicate in-campus at 1 year and off-campus access at 99 year.
    Date of Submission 2011-08-01

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