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De samenhang tussen beurskoersen en huizenprijzen

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  • Jan Willem van den End
  • Jan Kakes

Abstract

In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro-economic factors such as credit, consumption and interest rates. Moreover, a direct and increasing interaction between stock prices and house prices is found. The causality is likely to run mainly from the stock market to the housing market, with house prices responding to stock prices with a lag of two to three years.

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Bibliographic Info

Paper provided by Netherlands Central Bank, Monetary and Economic Policy Department in its series MEB Series (discontinued) with number 2002-17.

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Date of creation: Sep 2002
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Handle: RePEc:dnb:mebser:2002-17

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  1. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  2. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  3. Tamim Bayoumi & Hali Edison, 2003. "Is Wealth Increasingly Driving Consuption?," DNB Staff Reports (discontinued) 101, Netherlands Central Bank.
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Cited by:
  1. Hooi Hooi Lean & Russell Smyth, 2011. "REITs, interest rates and stock prices in Malaysia," Development Research Unit Working Paper Series 01-11, Monash University, Department of Economics.
  2. Todd H. Kuethe & Valerien Pede, 2009. "Regional Housing Price Cycles: A Spatio-Temporal Analysis Using Us State Level," Working Papers 09-04, Purdue University, College of Agriculture, Department of Agricultural Economics.
  3. David G McMillan, 2012. "Long-run stock price-house price relation: evidence from an ESTR model," Economics Bulletin, AccessEcon, vol. 32(2), pages 1737-1746.
  4. Agnello, Luca & Schuknecht, Ludger, 2009. "Booms and busts in housing markets: determinants and implications," Working Paper Series 1071, European Central Bank.
  5. Ioannis Ganoulis & Massimo Giuliodori, 2011. "Financial liberalization and house price dynamics in Europe," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2671-2688.

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