De samenhang tussen beurskoersen en huizenprijzen
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.
|Date of creation:||Sep 2002|
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- 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.
- 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.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Tamim Bayoumi & Hali Edison, 2003. "Is Wealth Increasingly Driving Consuption?," DNB Staff Reports (discontinued) 101, Netherlands Central Bank.
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