Abstract
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.
Original language | English |
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Pages (from-to) | 647-669 |
Number of pages | 24 |
Journal | The European Journal of Finance |
Volume | 25 |
Issue number | 7 |
Early online date | 22 Oct 2018 |
DOIs | |
Publication status | Published - 2019 |
Keywords
- House prices
- linear cointegration
- stock market
- wealth–credit effect
ASJC Scopus subject areas
- Economics, Econometrics and Finance (miscellaneous)
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Dimitrios Gounopoulos
- Management - Professor
- Accounting, Finance & Law
Person: Research & Teaching