The investigation of the dynamic linkages between real estate market and stock market in Greece

References

• Akaike, H. 1981. “Likelihood of a Model and Information Criteria.” Journal of Econometrics 16: 3–14. doi: 10.1016/0304-4076(81)90071-3
   Web of Science ®Google Scholar
• Akimov, A., S. Stevenson, and M. Zagonov. 2015. “Public Real Estate and the Term Structure of Interest Rates: A Cross-country Study.” Journal of Real Estate Finance and Economics 51: 503–540. doi: 10.1007/s11146-014-9492-x
   Web of Science ®Google Scholar
• Alimov, A. 2016. “Product Market Effects of Real Estate Collateral.” Journal of Corporate Finance 36: 75–92. doi: 10.1016/j.jcorpfin.2015.10.008
   Web of Science ®Google Scholar
• Ambrose, B. W., E. Ancel, and M. D. Griffiths. 1992. “The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency.” Journal of the American Real Estate and Urban Economics Association 20: 25–54. doi: 10.1111/1540-6229.00571
   Web of Science ®Google Scholar
• Banerjee, A., J. Dolado, and R. Mestre. 1998. “Error-correction Mechanism Tests for Cointegration in a Single Equation Framework.” Journal of Time Series Analysis 19: 267–283. doi: 10.1111/1467-9892.00091
   Google Scholar
• Bank of Greece. 2002. “Annual Report.” Athens, Greece.
   Google Scholar
• Bank of Greece. 2008. “Annual Report.” Athens, Greece.
   Google Scholar
• Barro, R. 1990. “The Stock Market and Investment.” Review of Financial Studies 3: 115–131. doi: 10.1093/rfs/3.1.115
   Web of Science ®Google Scholar
• Bhardwaj, G., and R. Sengupta. 2008. Where’s the Smoking Gun? A Study of Underwriting Standards for U.S. Subprime Mortgages. Federal Reserve Bank of St. Louis Working Paper No. 2008-036A.
   Google Scholar
• Calomiris, C. W., S. D. Longhofer, and W. Miles. 2012. The Housing Wealth Effect: The Crucial Roles of Demographics, Wealth Distribution and Wealth Shares. NBER Working Paper 17740.
   Google Scholar
• Chan, K. S. 1993. “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model.” Annual Statistics 21 (1): 520–533. doi: 10.1214/aos/1176349040
   Web of Science ®Google Scholar
• Chaney, A., and M. Hoesli. 2010. “The Interest Rate Sensitivity of Real Estate.” Journal of Property Research 27: 61–85. doi: 10.1080/09599916.2010.500815
   Google Scholar
• Chaney, T., D. Sraer, and D. Thesmar. 2012. “The Collateral Channel: How Real Estate Shocks Affect Corporate Investment.” The American Economic Review 102: 2381–2409. doi: 10.1257/aer.102.6.2381
   Web of Science ®Google Scholar
• Corradin, S., and A. Popov. 2015. “House Prices, Home Equity Borrowing, and Entrepreneurship.” Review of Financial Studies 28: 2399–2428. doi: 10.1093/rfs/hhv020
   Web of Science ®Google Scholar
• Dell’Ariccia, D., D. Igan, and L. Laeven. 2012. “Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market. Journal of Money.” Credit and Banking 44: 367–384. doi: 10.1111/j.1538-4616.2011.00491.x
   Web of Science ®Google Scholar
• Demyanyk, Y., and O. Van Hemert. 2011. “Understanding the Subprime Mortgage Crisis.” Review of Financial Studies 24: 1848–1880. doi: 10.1093/rfs/hhp033
   Web of Science ®Google Scholar
• Dickey, D., and W. Fuller. 1979. “Distribution of Estimators for Time Series Regressions with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
   Web of Science ®Google Scholar
• Driessen, J., and O. Van Hemert. 2012. “Pricing of Commercial Real Estate Securities During the 2007–2009 Financial Crisis.” Journal of Financial Economics 105: 37–61. doi: 10.1016/j.jfineco.2012.02.006
   Web of Science ®Google Scholar
• Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64: 813–836. doi: 10.2307/2171846
   Web of Science ®Google Scholar
• Enders, W., and C. W. J. Granger. 1998. “Unit-root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates.” Journal of Business & Economic Statistics 16: 304–311.
   Web of Science ®Google Scholar
• Enders, W., and P. Siklos. 2001. “Cointegration and Threshold Adjustment.” Journal of Business and Economic Statistics 19: 166–176. doi: 10.1198/073500101316970395
   Web of Science ®Google Scholar
• Falk, B. L. 1986. “Further Evidence on the Asymmetric Behavior of Economic Time Series Over the Business Cycle.” Journal of Political Economy 94: 1096–1109. doi: 10.1086/261423
   Web of Science ®Google Scholar
• Fama, E. 1981. “Stock Returns, Real Activity, Inflation and Money.” American Economic Review 71: 545–565.
   Web of Science ®Google Scholar
• Fischer, S., and R. C. Merton. 1984. “Macroeconomics and Finance: The Role of the Stock Market.” In Essays on Macroeconomic Implications of Financial and Labor Markets and Political Processes, edited by K. Brunner, and A. H. Meltzer, 58–107. Amsterdam: North-Holland Publishing Company.
   Google Scholar
• Garmaise, M., and T. Moskowitz. 2004. “Confronting Information Asymmetries: Evidence from Real Estate Markets.” Review of Financial Studies 17: 405–437. doi: 10.1093/rfs/hhg037
   Web of Science ®Google Scholar
• Geltner, D. 1990. “Return Risk and Cash Flow Risk with Long-term Riskless Leases in Commercial Real Estate.” Journal of the American Real Estate and Urban Economics Association 18: 377–402. doi: 10.1111/1540-6229.00529
   Web of Science ®Google Scholar
• Geltner, D. 1993. “Estimating Market Values from Appraised Values Without Assuming an Efficient Market.” Journal of Real Estate Research 8: 325–345.
   Google Scholar
• Gounopoulos, D., A. Merikas, A. Merika, and A. Triantafyllou. 2012. “Explaining House Price Changes in Greece.” Applied Financial Economics 22: 549–561. doi: 10.1080/09603107.2011.619494
   Google Scholar
• Green, R. 2002. “Stock Prices and House Prices in California: New Evidence of a Wealth Effect.” Regional Science and Urban Economics 32: 775–783. doi: 10.1016/S0166-0462(01)00103-X
   Web of Science ®Google Scholar
• Gyourko, J., and D. B. Keim. 1992. “What Does the Stock Market Tell Us About Real Estate Returns?” Real Estate Economics 20: 457–485. doi: 10.1111/1540-6229.00591
   Web of Science ®Google Scholar
• Heaney, R., and S. Sriananthakumar. 2012. “Time-varying Correlation Between Stock Market Returns and Real Estate Returns.” Journal of Empirical Finance 19: 583–594. doi: 10.1016/j.jempfin.2012.03.006
   Web of Science ®Google Scholar
• Ibbotson, R., and L. Siegel. 1984. “Real Estate Returns: A Comparison with Other Investments.” Real Estate Economics 12: 219–242. doi: 10.1111/1540-6229.00320
   Web of Science ®Google Scholar
• Jang, K. Y. 2017. “The Effect of TARP on the Propagation of Real Estate Shocks: Evidence from Geographically Diversified Banks.” Journal of Banking and Finance 83: 173–192. doi: 10.1016/j.jbankfin.2016.12.009
   Web of Science ®Google Scholar
• Johansen, S., and K. Juselius. 1990. “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52: 169–210. doi: 10.1111/j.1468-0084.1990.mp52002003.x
   Web of Science ®Google Scholar
• Kakes, J., and J. W. Van Den End. 2004. “Do Stock Prices Affect House Prices? Evidence for the Netherlands.” Applied Economic Letters 11: 741–744. doi: 10.1080/1350485042000254863
   Web of Science ®Google Scholar
• Kapopoulos, P., and F. Siokis. 2005. “Stock and Real Estate Prices in Greece: Wealth Versus ‘Credit-price’ Effect.” Applied Economic Letters 12: 125–128. doi: 10.1080/1350485042000307107
   Web of Science ®Google Scholar
• Keys, B., T. Mukherjee, A. Seru, and V. Vig. 2010. “Did Securitization Lead to Lax Screening? Evidence from Subprime Loans.” Quarterly Journal of Economics 125 (1): 307–362. doi: 10.1162/qjec.2010.125.1.307
   Web of Science ®Google Scholar
• Laxton, D., D. Rose, and R. Tetlow. 1993. “Is the Canadian Philips curve non-linear?” Bank of Canada Working Paper, 93–97.
   Google Scholar
• Lean, H. H., and R. Smyth. 2012. “REITS, Interest Rate and Stock Prices in Malyasia International.” Journal of Business and Society 13: 49 –462.
   Google Scholar
• Li, J., and J. Lee. 2010. “ADL Test for Threshold Cointegration.” Journal of Time Series Analysis 31: 241–254.
   Web of Science ®Google Scholar
• Lim, J., and G. Ong. 1992. “Real Estate in an Emerging Financial Market: The Singapore Experience.” Paper presented at the 1992 AREUEA International Conference on Real Estate and Urban Economics, Redondo Beadi, CA.
   Google Scholar
• Liu, C. H., D. J. Hartzell, W. Greig, and T. V. Grissom. 1990. “The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence.” Journal of Real Estate Finance and Economics 3 (3): 261–282. doi: 10.1007/BF00216190
   Google Scholar
• Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7: 77–91.
   Web of Science ®Google Scholar
• Mian, A. R., R. Kamalesh, and S. Amir. 2013. “Household Balance Sheets, Consumption, and the Economic Slump.” Quarterly Journal of Economics 128: 1687–1726. doi: 10.1093/qje/qjt020
   Web of Science ®Google Scholar
• Mian, A., and A. Sufi. 2009. “The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis.” Quarterly Journal of Economics 124: 1449–1496. doi: 10.1162/qjec.2009.124.4.1449
   Web of Science ®Google Scholar
• Miao, H., S. Ramchander, and M. W. Simpson. 2011. “Return and Volatility Transmission in U.S. Housing Markets.” Real Estate Economics 39: 701–741. doi: 10.1111/j.1540-6229.2010.00303.x
   Web of Science ®Google Scholar
• Neftci, S. N. 1984. “Are Economic Time Series Asymmetric Over the Business Cycle.” Journal of Political Economy 92: 307–328. doi: 10.1086/261226
   Web of Science ®Google Scholar
• Okunev, J., and P. Wilson. 1997. “Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets.” Real Estate Economics 25: 487–503. doi: 10.1111/1540-6229.00724
   Web of Science ®Google Scholar
• Okunev, J., P. Wilson, and R. Zurbruegg. 2000. “The Causal Relationship Between Real Estate and Stock Markets.” Journal of Real Estate Finance and Economics 21: 251–261. doi: 10.1023/A:1012051719424
   Web of Science ®Google Scholar
• Pesaran, H., and Y. Shin. 1999. “An Autoregressive Distributed lag Modeling Approach to Cointegration Analysis.” In Econometrics and Economic Theory in the 20th Century, edited by S. Strom, 371–413. Cambridge: Cambridge University Press.
   Google Scholar
• Pesaran, M. H., Y. Shin, and R. J. Smith. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16: 289–326. doi: 10.1002/jae.616
   Web of Science ®Google Scholar
• Poterba, J. M., and A. A. Samwick. 1995. “Stock Ownership Patterns, Stock Market Fluctuations and Consumption. Brookings Papers on Economic Activity, Economic Studies Program.” The Brookings Institution 26: 295–372.
   Google Scholar
• Quan, D. C., and S. Titman. 1997. “Commercial Real Estate Prices and Stock Market Returns: An International Analysis.” Financial Analyst Journal 53: 21–35. doi: 10.2469/faj.v53.n3.2082
   Google Scholar
• Rajan, R. G., and L. Zingales. 2003. “The Great Reversals: The Politics of Financial Development in the Twentieth Century.” Journal of Financial Economics 69: 5–50. doi: 10.1016/S0304-405X(03)00125-9
   Web of Science ®Google Scholar
• Romilly, P., H. Song, and X. Liu. 2001. “Car Ownership and Use in Britain: A Comparison of the Empirical Results of Alternative Cointegration Estimation Methods and Forecasts.” Applied Economics 33: 1803–1818. doi: 10.1080/00036840011021708
   Web of Science ®Google Scholar
• Schmalz, M. C., D. A. Sraer, and D. Thesmar. 2017. “Housing Collateral and Entrepreneurship.” Journal of Finance 72: 99–130. doi: 10.1111/jofi.12468
   Web of Science ®Google Scholar
• Sinai, T., and N. Souleles. 2005. “Owner-occupied Housing as a Hedge Against Risk.” Quarterly Journal of Economics 120: 763–789.
   Web of Science ®Google Scholar
• Stevenson, S., P. J. Wilson, and R. Zurgbruegg. 2007. “Assessing the Time-varying Interest Rate Sensitivity of Real Estate Securities.” European Journal of Finance 13: 705–715. doi: 10.1080/13518470701705678
   Google Scholar
• Stone, D., and W. Ziemba. 1993. “Land and Stock Prices in Japan.” Journal of Economic Perspectives 7: 149–166. doi: 10.1257/jep.7.3.149
   Web of Science ®Google Scholar
• Sutton, G. D. 2002. “Explaining Changes in House Prices.” BIS Quarterly Review, 46–55. https://ideas.repec.org/a/bis/bisqtr/0209f.html.
   Google Scholar
• Wang, Y., M. Campbell, and D. Johnson. 2016. China Direct Real Estate and General Stock Market, Are They Running Opposite Directions? Working Paper.
   Google Scholar
• Worzala, E., and K. D. Vandell. 1995. International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An evaluation. European Real Estate Society (ERES).
   Google Scholar
• Zhang, D., J. Cai, J. Liu, and A. M. Kutan. 2016. “Real Estate Investments and Financial Stability: Evidence from Regional Commercial Banks in China.” The European Journal of Finance 24 (16): 1388–1408. doi: 10.1080/1351847X.2016.1154083
   Web of Science ®Google Scholar