Please use this identifier to cite or link to this item:
|Title:||The effect of the 2008 crisis on the interdependence of the financial asset market and the housing market in the United States||Other Titles:||The effect of the 2008 crisis on the interdependence of the financial asset market & the housing market in the United States||Authors:||Sleiman, Rosie
Akhrass, Maya Al
|Advisors:||Assaf, Ata||Subjects:||Financial crises--United States--21st century||Issue Date:||2015||Abstract:||
We will first start by testing the stationarity of the daily index returns of S&P500, US corporate bonds, and real estate from 2006 to 2014 by using the Unit Root Test. Followed by that is the application of a Vector Autoregressive model, to study the interdependence that exists between these asset classes before, during and after the financial crisis. We estimate that the Real Estate Investment Trusts (REITs) are the most volatile with respect to the two other financial assets. We also document evidence about the positive relation that exists between the stock and the real estate market. The stock market was adversely affected by the 2008 crisis because at the time, high risk mortgages lead to the foreclosures of many financial institutions that were not able to refinance their debts. Also, this study confirms the negative relation among the stock and the bond market present in the literature review. We demonstrate how the crisis significantly affected the REITs and the stock market, and we explain the responsiveness of the dependent variables in the VAR to shocks in each of the variables through the impulse response function.
Includes bibliographical references (p.37-39).
Supervised by Dr. Ata Assaf.
|URI:||https://scholarhub.balamand.edu.lb/handle/uob/3606||Rights:||This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder||Ezproxy URL:||Link to full text||Type:||Project|
|Appears in Collections:||UOB Theses and Projects|
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.