Long-run stock price-house price relation: evidence from an ESTR model
The 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.
Volume (Year): 32 (2012)
Issue (Month): 2 ()
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2008-010, Federal Reserve Bank of St. Louis.
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- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2006. "Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models," Econometric Theory, Cambridge University Press, vol. 22(02), pages 279-303, April.
- repec:arz:wpaper:eres1995_185 is not listed on IDEAS
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