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Housing prices, stock prices and interest rates: a cointegration analyses of the Stockholm region
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. This study contributes to the literature by examining eleven years of monthly data for the housing prices in the Stockholm region. We find evidence of a long-run relationship between housing prices, stock prices and the interest rate. There is a negative relationship between housing prices and the interest rate as well as between stock prices and the interest rate, but a positive relationship between housing prices and stock prices.  However, the results are somewhat sensitive to model specification and therefore further studies on the topic are encouraged.

Place, publisher, year, edition, pages
2016. , 44 p.
Keyword [en]
Cointegration, Housing prices, Stock prices, Interest rates, Stockholm region, Johansen’s test, Unit root
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-295656OAI: oai:DiVA.org:uu-295656DiVA: diva2:934318
Subject / course
Statistics
Educational program
Bachelor Programme in Business and Economics
Supervisors
Available from: 2016-06-30 Created: 2016-06-08 Last updated: 2016-06-30Bibliographically approved

Open Access in DiVA

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