Uncovering the interrelationship between the U.S. stock and housing markets: a bootstrap rolling window Granger causality approach

Tsangyao Chang, Su-Ling Tsai and Kai-yin Allison Haga

Applied Economics, 2017, vol. 49, issue 58, 5841-5848

Abstract: The purpose of this study is to investigate the time-varying interrelationship between the housing market and the stock market in the U.S. during the period of 1890–2013, by employing a rolling window subsample with a bootstrap Granger causality test. The rolling window allows for structural changes in the economy over time. Whereas previous studies have not identified a causal relationship between the U.S. housing price index and the SP500 stock price index, this new analysis is the first to identify certain periods wherein either the wealth effect or the investment effect can be observed.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2017.1346365 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:49:y:2017:i:58:p:5841-5848

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2017.1346365

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().