Volume 7 Number 10 (Oct. 2012)
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JSW 2012 Vol.7(10): 2205-2211 ISSN: 1796-217X
doi: 10.4304/jsw.7.10.2205-2211

Research on Dynamic Relationship between Asset Prices Volatility and Financial Exposure

Hongling Wu and Cunzhang Duan
School of Economics/Anhui University of Technology, Maanshan, China

Abstract—This paper explores the interaction mechanism between asset price volatility and financial exposure by using prices of real estate and stock market. To this end, some dynamic econometric methods such as cointegration, IRF and so on are used to analyze the data based on Eviews software. Results show that inter-influences have been found between real estate prices and banking credit, with the former over-depending on the latter. The relationship between stock market and banking credit is not significant. Real estate and stock markets have a certain degree influence upon each other in short term. In addition, the interest rate mechanism has little role in the relationship between asset prices volatility and banking credit.

Index Terms—Asset price; Banking credit; Eviews software; Real estate price; Stock price; IRF

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Cite: Hongling Wu and Cunzhang Duan, "Research on Dynamic Relationship between Asset Prices Volatility and Financial Exposure," Journal of Software vol. 7, no. 10, pp. 2205-2211, 2012.

General Information

ISSN: 1796-217X (Online)
Frequency: Monthly
Editor-in-Chief: Prof. Antanas Verikas
Executive Editor: Ms. Yoyo Y. Zhou
Abstracting/ Indexing: DBLP, EBSCO, ProQuest, INSPEC, ULRICH's Periodicals Directory, WorldCat, etc
E-mail: jsw@iap.org
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