Theoretical and Applied Economics
No. 1 / 2016 (606), Spring
The relationship between output and asset prices: A time – and frequency – varying approach
Ocean University of China, Qingdao, China
Zong-Liang YAO
Ocean University of China, Qingdao, China
Hsu-Ling CHANG
Ling Tung University, Taichung, Taiwan
Abstract. This paper employs wavelet analysis to examine the relationship between the U.S. output and asset prices. We use the theory of the monetary transmission mechanism to explain the relationship between them. Wavelet analysis takes the simultaneous examination of co-movement and causality into account in both the time and frequency domains. We do find the positive correlation between each two series in the time domain. More specifically, the output and asset prices including oil, stock and house prices exhibit positive co-movement in the most of the sample period. However, the relationship between output and gold prices is a positive correlation for only a few years. From the frequency domain, output and stock, house prices correlate with each other across different frequencies. In addition, output and oil prices correlate at middle (medium run) and higher (short run) frequencies and output and gold prices correlate at higher (short run) frequencies. These findings offer important implications analysing how to apply assets prices to forecast output and analysing periodic variation of economic growth and economical sustainability for policymakers and practitioners.
Contents
Female entrepreneurial activity in Romania
Analysis of the causal link between wages and prices in UK
Assessing the regional development degree – step one: Calibrating the polar diagram
The relationship between output and asset prices: A time – and frequency – varying approach
Territorial patterns of development in the European Union
Nexus between defense expenditure and economic growth in BRIC economies: An empirical investigation
Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets
A theoretical examination of tax evasion among the self-employed
Long-term effects of the investments dynamics in Romania in the post-accession period – a regional approach
A utility based theoretical model for the income-life expectancy curve
Essentials aspects on macroeconomic variables and their correlations
Determinants of the Hungarian forint/ US dollar exchange rate
Macroeconomic strategies for the prevention of economic and financial crisis
Does tourism affect economic growth in Indian states? Evidence from panel ARDL model
Sovereign debt crisis. From challenges to solutions
International trade and tourism for Mediterranean countries: A panel causality analysis
Economic freedom index and stock returns in Malaysia
How budget deficit and current account deficit are interrelated in Indian economy
Study regarding the influence of the endogenous and exogenous factors on credit institution’s return on assets
Effects of oil returns and external debt on the government investment: A case study of Syria