Long-run stock price-house price relation: evidence from an ESTR model

David McMillan ()
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David McMillan: University of Stirling

Economics Bulletin, 2012, vol. 32, issue 2, 1737-1746

Abstract: 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.

Keywords: House Prices; Stock Prices; ESTR Model; Credit Effect (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2012-06-15
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Citations: View citations in EconPapers (11)

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