The Investigation of the Dynamic Linkages between Real Estate Market and Stock Market in Greece
European Journal of Finance, Forthcoming
42 Pages Posted: 8 Dec 2017 Last revised: 21 Jan 2020
Date Written: September 16, 2018
We use quarterly data from Greece and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.
Keywords: house prices, stock market, linear cointegration, wealth credit effect
JEL Classification: G15, G32, C10
Suggested Citation: Suggested Citation