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De samenhang tussen beurskoersen en huizenprijzen

  • Jan Willem van den End
  • Jan Kakes

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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File URL: http://www.dnb.nl/binaries/ms2002-17_tcm46-147327.pdf
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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
Contact details of provider: Postal: Postbus 98, 1000 AB Amsterdam
Web page: http://www.dnb.nl/en/
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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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