Stock prices and house prices: Which one affects the other?

نوع مقاله: مقاله پژوهشی

نویسندگان

1 اهواز _دانشگاه شهید چمران _دانشکده اقتصاد _کد پستی ده رقمی:1750532336- 3366187- 09166130632- دور نگار:3337411

2 دانشگاه شهید چمران

چکیده

Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we conducted a Granger-causality test and Impulse response functions (IRF). The causality test is performed with control variables and the results supply evidence on the bidirectional relationship between house price and stock price. Impulse response function is estimated in order to investigate the size and timing of the causality. The IRF concludes that, when the impulse is stock price, the every response of house price is most positive and the values fluctuate around the line zero at each time period. .

کلیدواژه‌ها


عنوان مقاله [English]

Stock prices and house prices: Which one affects the other?

نویسندگان [English]

  • abdolmajid ahangari 1
  • mahvash moradi 2
1 Department of Economics, Associate Professor
2 PHD student
چکیده [English]

Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we conducted a Granger-causality test and Impulse response functions (IRF). The causality test is performed with control variables and the results supply evidence on the bidirectional relationship between house price and stock price. Impulse response function is estimated in order to investigate the size and timing of the causality. The IRF concludes that, when the impulse is stock price, the every response of house price is most positive and the values fluctuate around the line zero at each time period.

کلیدواژه‌ها [English]

  • House prices
  • Stock prices
  • VAR
  • Causality Impulse response functions Variance decomposition
  • Iran
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