A Dynamic Study on Housing and Stock Market in Europe: Focused on Greece

Jeong,, D. B. (2020). A Dynamic Study on Housing and Stock Market in Europe: Focused on Greece. East Asian Journal of Business Economics, 8(1), 57-69, https://doi.org/10.20498/eajbe.2020.8.1.57

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Abstract

Purpose – This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account, index of stock, gross domestic product, housing price indices, M3, real tare of interest and household credits. We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology – Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration test, Granger causality test, impulse response function and variance decomposition analysis by EViews 11.0. Results – The statistical tests show that all variables under consideration have one unit root and there is a long-term equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK ana LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions – It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

keywords: Cointegration, Unit root test, Vector Error Correction model

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Article Contents

Vol.8 No.1

A Dynamic Study on Housing and Stock Market in Europe: Focused on Greece

Abstract

Reference

East Asian Journal of Business Economics