In the Shadow of the U nited S tates: The International Transmission Effect of Asset Returns

Kuang‐Liang Chang · Nan‐Kuang Chen · Charles Ka Yui Leung

53 citations0/0 files storedPacific Economic Review

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

Abstract We examine how fluctuations in financial and housing markets in the United States affect asset returns and GDP in Hong Kong. In contrast to studies using linear specifications, which find that the United States and Hong Kong are virtually delinked in terms of the asset markets, our regime‐switching models indicate that an unexpected change in US stock returns, followed by the TED spread, has the most significant effect on Hong Kong asset returns and GDP, typically in a regime of high return and low volatility. For in‐sample one‐step‐ahead forecasting, the US term spread is the best predictor.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 53 citations exist upstream.

References

1980Macroeconomics and Reality 1994Comparing Predictive Accuracy 2008Market Liquidity and Funding Liquidity 2002Forecasting Using Principal Components From a Large Number of Predictors 2010Financial Intermediation and Credit Policy in Business Cycle Analysis 1989New Indexes of Coincident and Leading Economic Indicators 1991The Term Structure as a Predictor of Real Economic Activity 1998The East Asian Financial Crisis: Diagnosis, Remedies, Prospects

Cited by

2014Comparing consumption-based asset pricing models: The case of an Asian city 2011Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?2017Effects of capital flow on the equity and housing markets in Hong Kong 2015Losing Track of the Asset Markets: The Case of Housing and Stock 2019Choice with Limited Capacity 2021Wishful Thinking in Macroeconomic Expectations

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.