주택시장과 주식시장 간의 연관성

The Relationship between Housing Market and Stock Market

This study investigates the lead-lag relationship between housing price index and stock price index. Houses and stocks are considered as investment alternatives. This study uses monthly data of FHFA Index and DJIA Index from January 2010 through October 2016. The contribution of this study is that it explores fundamental price component and transitory price component. They are estimated by unobserved component model. In the case of observed price index, the Granger causality tests show that observed FHFA Index Granger causes observed DJIA Index. This means observed FHFA Index precedes observed DJIA Index. In the case of fundamental value, the fundamental price component of FHFA Index Granger causes that of DJIA Index. In the case of transitory price component, the test result reports that the transitory price component of FHFA Index Granger causes that of DJIA Index. The impulse response functions show that FHFA Index impulse increases DJIA Index in all cases. The implication from this study is that analyzing housing price behavior is necessary for stock price index prediction and asset portfolio management.