Long-run stock price-house price relation: evidence from an ESTR model
AbstractThe direction of any long-run relationship between stock prices and house prices provides useful information for policy makers and practitioners regarding the presence of wealth and credit effects. Using quarterly data from the UK and US this paper reports evidence of non-linear dynamics in the adjustment to equilibrium. Specifically, the equilibrium-deviation must become large before stock prices revert. However, there is no evidence that house price adjust to any disequilbrium. This supports a credit effect on stock prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 2 ()
Contact details of provider:
House Prices; Stock Prices; ESTR Model; Credit Effect;
Find related papers by JEL classification:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009.
"Non-linear predictability in stock and bond returns: when and where is it exploitable?,"
Working Papers, Federal Reserve Bank of St. Louis
2008-010, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 373-399.
- Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970-2003," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 81(s1), pages S96-S103, 08.
- Jan Kakes & Jan Willem Van Den End, 2004.
"Do stock prices affect house prices? Evidence for the Netherlands,"
Applied Economics Letters, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 11(12), pages 741-744.
- Jan Willem van den End & Jan Kakes, 2002. "De samenhang tussen beurskoersen en huizenprijzen," MEB Series (discontinued), Netherlands Central Bank, Monetary and Economic Policy Department 2002-17, Netherlands Central Bank, Monetary and Economic Policy Department.
- Stuart Sayer, 2009. "Issues In Finance: Credit, Crises And Policies - An Overview," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 23(5), pages 795-797, December.
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2006. "Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(02), pages 279-303, April.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013.
"The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains,"
201365, University of Pretoria, Department of Economics.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers, University of Connecticut, Department of Economics 2013-34, University of Connecticut, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.