Long-Run Stock Price-House Price Relation: Evidence from an ESTR Model

David G. McMillan

University of Stirling

August 22, 2011

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.

Number of Pages in PDF File: 10

Keywords: House Prices, Stock Prices, ESTR Model, Credit Effect

JEL Classification: C22, G12

Open PDF in Browser Download This Paper

Date posted: August 22, 2011  

Suggested Citation

McMillan, David G., Long-Run Stock Price-House Price Relation: Evidence from an ESTR Model (August 22, 2011). Available at SSRN: http://ssrn.com/abstract=1914424 or http://dx.doi.org/10.2139/ssrn.1914424

Contact Information

David G. McMillan (Contact Author)
University of Stirling ( email )
Stirling, Scotland FK9 4LA
United Kingdom
Feedback to SSRN

Paper statistics
Abstract Views: 618
Downloads: 142
Download Rank: 152,817

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.172 seconds