How strong are the linkages between real estate and other sectors in China?

Research in International Business and Finance

Volumn 36, Issue , 2016, Pages 52-72

  Chan, Steven ^a   Han, Gaofeng ^a   Zhang, Wenlang ^a  

^a HONG KONG MONETARY AUTHORITY   (Hong Kong)

Author keywords

DAG; Default likelihood; Financial linkages; IO analysis; Structural VAR

Indexed keywords

EID: 84942636361     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2015.09.018     Document Type: Article

References (40)

1. Altman Edward I. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 1968, 23(Sep (4)):589-609.
2. Altman Edward I., Fargher Neil, Kalotay Egon A simple empirical model of equity-implied probabilities of default. J. Fixed Income 2011, 20(3):71-85.
3. Beaver William H. Financial ratios as predictors of failure. J. Acc. Res. 1966, 4:71-111.
4. Bernanke Ben S. Alternative explanations of the money-income correlation. Carnegie-Rochester Conf. Ser. Public Pol. 1986, 25(1):49-99.
5. Bernanke B., Gertler M., Gilchrist S. the financial accelerator in a quantitative Busine cycle framework. Handbook of Macroeconomics 1999, vol. 1. Elsevier, New York, NY.
6. Black F., Scholes M. The pricing of options and corporate liabilities. J. Polit. Econ. 1973, 81:637-654.
7. Campbell John Y., Hilscher Jens, Szilagyi Jan In search of distress risk. J. Finance 2008, LXIII(Dec (6)):2899-2939.
8. Chava Sudheer, Jarrow Robert A. Bankruptcy prediction with industry effects. Rev. Finance 2004, 8:537-569.
9. Cooley T., Marimon R., Quadrini V. Aggregate consequences of limited contract enforceability. J. Polit. Econ. 2004, 112(4):817-847.
10. Caruana, Jaime, February, 2010. Systemic Risk: How to Deal with It?. BIS Other Publications, at . http://www.bis.org/publ/othp08.htm.
11. Cossin Didier, Schellhorn Henry Credit risk in a network economy. Manage. Sci. 2007, 53(10):1604-1617.
12. Handbook of Computable General Equilibrium Modeling 2012, Elsevier, New York, NY. P. Dixon, D. Jorgenson (Eds.).
13. Duan Jin-Chuan Maximum likelihood estimation using price data of the derivative contract. Math. Finance 1994, 4(April (2)):155-167.
14. Duan Jin-Chuan, sun Jie, Wang Tao Multi-period corporate default prediction-a forward intensity approach. J. Econometrics 2012, 170:191-209.
15. Duffie Darrell, Eckner Andreas, Horel Guillaume, Saita Leandro Frailty correlated default. J. Finance 2009, LXIV(Oct (5)).
16. Elekdag S., Muir D. Trade Linkages, Balance Sheets, and Spillovers: The Germany-Central European Supply Chain. IMF Working Paper WP/13/210 2013.
17. Giesecke Kay, Weber Stefan Cyclical correlations, credit contagion, and portfolio losses. J. Bank. Finance 2004, 25:3009-3036.
18. Hart O. Firms, Contracts, and Financial Structure (Clarendon Lectures in Economics) 1995, Oxford University Press, Oxford.
19. Hillegeist Stephen A., Keating Elizabeth K., Cram Donald P., Lundstedt Kyle G. Assessing the probability of bankruptcy. Rev. Acc. Stud. 2004, 9:5-34.
20. Hoover Kevin D. Automatic inference on the contemporaneous casual order of a system of equations. Econ. Theory 2005, 21:69-77.
21. Horridge M., Wittwer G. SinoTERM, a multi-regional CGE model of China. China Econ. Rev. 2008, 19:628-634.
22. Jarrow Robert, Yu Fan Counterparty risk and the pricing of default securities. J. Finance 2001, LVI(Oct (5)):1765-1799.
23. Kehoe T., Serra-Puche J. A computational general equilibrium model with endogenous unemployment: an analysis of the 1980 fiscal reform in Mexico. J. Public Econ. 1983, 22:1-26.
24. Kiyotaki N., Moore J. Credit cycles. J. Polit. Econ. 1997, 105:211-248.
25. Liew C., Liew C. A comparative study of household interactive variable input-output (HIVIO) model and the conventional input-output models. J. Urban Econ. 1988, 24:64-84.
26. Liu X., Luo W., Mao X., Wang X., Xin X. The diminishing influences of agricultural output changes on general price changes in China. China Agric. Econ. Rev. 2010, 2:345-355.
27. Merton R.C. On the pricing of corporate debt: the risk structure of interest rates. J. Finance 1974, 29:449-470.
28. Nicolau Joao Stationary process that look like random walks-the bounded random walk process in discrete and continuous time. Econometric Theory 2002, 18(February (1)):99-118.
29. Ohlson James A. Financial ratios and the probabilistic prediction of bankruptcy. J. Acc. Res. 1980, 18(Spring (1)):109-131.
30. Rose A. Input-output economics and computable general equilibrium models. Struct. Change Econ. Dynam. 1995, 6(3):295-304.
31. Sharify N. Input-output modelling of the effect of implicit subsidies on general prices. Econ. Modell. 2013, 33:913-917.
32. Sharify N., Sancho F. A new approach for the input-output price model. Econ. Modell. 2011, 28:188-195.
33. Shumway Tyler Forecasting bankruptcy more accurately: a simple hazard model. J. Bus. 2001, 74(1):101-124.
34. Song Yu, Liu Chunlu, Langston Craig Exploring intersectoral linkages between real estate and construction. Int. J. Constr. Manage. 2008, 8(1):73-83.
35. Swanson Norman R., Granger Clive W.J. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. J. Am. Stat. Assoc. 1997, 92(March (437)):357-367.
36. Townsend R. Optimal contracts and competitive markets with costly state verification. J. Econ. Theory 1979, 21:265-293.
37. Williamson S. Financial intermediation, business failures, and real business cycles. J. Polit. Econ. 1987, 95:1196-1216.
38. Yang Jian, Yinggang Zhou Credit risk spillovers among financial institutions around the global credit crisis: firm-level evidence. HKIMR Working Paper 2012.
39. Yuan C., Liu S., Xie N. The impact on Chinese economic growth and energy consumption of the global financial crisis: an input-output analysis. Energy 2010, 35:1805-1812.
40. Zmijewski Mark E. Methodological issues related to the estimation of financial distress prediction model. J. Acc. Res. 1984, 22:59-82.