Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries

Caporale, Guglielmo Maria and Sousa, Ricardo M. (2011) Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (27). pp. 1-14.

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Abstract

In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence based on data for 15 OECD countries shows that when agents expectfuture stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are seen as complements to stocks, then investors react in the same way, but if they are instead treated as substitutes consumption will be temporarily reduced.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics Working Paper Series, consumption, wealth, stock returns, housing returns, OECD countries, Organisation for Economic Co-operation and Development
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: David Pester
Date Deposited: 21 Apr 2015 14:28
Last Modified: 21 Apr 2015 14:28
URI: http://repository.londonmet.ac.uk/id/eprint/462

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