This paper investigates monthly data of S&P 500, M2 and S&P/Case-Shiller Home Price Indices (Composite-10) from Jan, 1987 to Nov, 2012. Impulse response analysis and variable decomposition is performed to detect the dynamic relationship among the three variables in response to the exogenous shocks. Then unite root test is also conducted to analyze the stationarity, and build error correction model on the basis of cointegration procedure. The results of the empirical analysis include: stock market, money supply and housing prices are all nonstationary, however, their first-difference series are all stationary; There exists cointegration relationship among stock market, money supply and housing prices; ECM indicates stock market, money supply and housing prices can return to equilibrium when they deviate form long-run equilibrium; In the short term, each variable responses promptly by one-standard-deviation innovations of itself and has lagged responses to the shock of the other two variables. Thus, for stock market, money supply and housing prices, we can predict the trend of one variables through controlling the other two.
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