We use quarterly data from Greece over the period 1997:1–2015:2 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.
- House prices
- linear cointegration
- stock market
- wealth–credit effect
ASJC Scopus subject areas
- Economics, Econometrics and Finance (miscellaneous)
Gounopoulos, D., Kousenidis, D., Kosmidou, K., & Patsika, V. (2019). The investigation of the dynamic linkages between real estate market and stock market in Greece. The European Journal of Finance, 25(7), 647-669. https://doi.org/10.1080/1351847X.2018.1532443