Real estate and stock returns: a multivariate VAREC model

摘要: In this paper, we examine dynamic relationships among three housing market variables and a stock index in multivariate vector autoregressive error correction (VAREC) model. It is first found that, the USA, sales median price of existing single‐family homes 30‐year mortgage rate have unit roots, while New York Stock Exchange (NYSE) value‐weighted portfolio returns appear random. Moreover, it that not only are real estate cointegrated with one another but they also returns. After controlling for root problem cointegration, VAREC model further developed to four using Johansen’s approach. price, rate, affect sales. price. The affected by Except which negatively correlated returns, significant evidence directly.