Abstract

This paper investigates the economic relationship between real estate and stocks in Taiwan Two transition mechanisms responsible for wealth effect and credit price effect have been proposed to interpret this relationship. To test this transmission, this study employed channel tests of Granger-Causality and threshold error-correction model (TECM). Focusing on the asymmetric adjustment behavior of stock prices over real estate prices demonstrates that the primary source of asymmetry is stock prices to real estate prices. Empirical findings support the hypothesis of the wealth effect.

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