This paper empirically investigates the forecasting performances for the housing and stock returns of a series of SVAR models, including various combinations of the federal funds rate, term spread, external finance premium, TED spread, and GDP. Using US data 1975Q2-2008Q3, we find that, for both...

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers....