Economic theory predicts three possibilities for the cointegration relationship between house prices and economic fundamentals: linear cointegration, nonlinear cointegration and no cointegration. In contrast, the empirical literature has only examined linear cointegration. This article argues that ignoring nonlinear cointegration may lead to misleading conclusions that no cointegration exists between house prices and the fundamentals. To illustrate this point, I test for cointegration for ten U.S. cities and find that only one city shows evidence of linear cointegration. Further analysis using the two‐step testing procedure yields evidence of nonlinear cointegration for six other cities. Still, there are three cities left out without evidence of nonlinear cointegration. Further studies are needed to test for other forms of nonlinear cointegration before a conclusion of no cointegration can be reached for the remaining three cities. 相似文献
This paper examines three important issues related to the relationship between stock returns and volatility. First, are Duffee's (1995) findings of the relationship between individual stock returns and volatility valid at the portfolio level? Second, is there a seasonality of the market return volatility? Lastly, do size portfolio returns react symmetrically to the market volatility during business cycles? We find that the market volatility exhibits strong autocorrelation and small size portfolio returns exhibit seasonality. However, this phenomenon is not present in large size portfolios. For the entire sample period of 1962–1995, the highest average monthly volatility occurred in October, followed by November, and then January. Examining the two sub-sample periods, we find that the average market volatility increases by 15.4% in the second sample period of 1980–1995 compared to the first sample period of 1962–1979. During the contraction period, the average market volatility is 60.9% higher than that during the expansion period. Using a binary regression model, we find that size portfolio returns react asymmetrically with the market volatility during business cycles. This paper documents a strongly negative contemporaneous relationship between the size portfolio returns and the market volatility that is consistent with the previous findings at the aggregate level, but is inconsistent with the findings at the individual firm level. In contrast with the previous findings, however, we find an ambiguous relationship between the percentage change in the market volatility and the contemporaneous stock portfolio returns. This ambiguity is attributed to strongly negative contemporaneous and one-month ahead relationships between the market volatility and portfolio returns.
