| Summary: | 碩士 === 國立東華大學 === 財務金融學系 === 105 === The purpose of this study is to examine the relationship between stock and house price of seventeen United States cities by using the Autoregressive distribution lag model. The information period is monthly data, from January 1993 to December 2016. By using bounds test to analyze whether the cointegration relationship exists between housing and stock prices. In addition, use Granger causality test to investigate the causal relationship between the housing and stock prices in United States. When analyze bounds test and Granger causality test, divided into three categories to analyze, ARDL linear model, ARDL asymmetric model, and ARDL partially asymmetric model.
Our empirical evidence shows that, under ARDL linear model, four cities exists cointegration relationship, after financial crisis three cities has cointegration relationship; under ARDL asymmetric model, six cities exists cointegration relationship, after financial crisis fifteen cities has cointegration relationship; under ARDL partially asymmetric model, eight cities exists cointegration relationship, after financial crisis thirteen cities has cointegration relationship. According to Granger causality test and capital switching effect test, shows that in some cities there is wealth effect between stock prices and housing prices, some cities there is capital switching effect between stock prices and housing prices.
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