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On The Relation Between Housing and Stock Markets in 18 OECD Countries: A Bootstrap Panel Causality Test

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  • Mohsen Bahmani-Oskooee
  • Tsung-Pao Wu

Abstract

We apply a bootstrap panel Granger causality test to examine the causal relation between the housing market and the stock market across 18 OECD countries for the period from 1993:Q1 to 2015:Q4, which accounts for both dependency and heterogeneity across regions. The results provide evidence for the credit-price effect in Belgium and Japan. The wealth effect is supported in Australia, Canada, France, Greece, Portugal, South Korea, Spain, Sweden, and the United Kingdom. A feedback effect was found in Ireland, Italy, Netherlands, and the United States and finally, the neutrality effect was supported in Denmark, Finland, and Germany.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsung-Pao Wu, 2018. "On The Relation Between Housing and Stock Markets in 18 OECD Countries: A Bootstrap Panel Causality Test," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 24(2), pages 121-133, January.
    • Handle: RePEc:taf:repmxx:v:24:y:2018:i:2:p:121-133
    DOI: 10.1080/10835547.2018.12090013
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