This study examines whether real estate stock indices in the United States and the United Kingdom are predominantly driven by the underlying property markets or by progress on general stock markets. In the process, we abandon the conventional approach of focussing only on the three assets, namely real estate equities, direct real estate and stock indices. Instead, we conduct an analysis which explicitly takes into account the macroeconomic environment in each country. Based on vector error correction models (VECM) and variance decompositions, we detect a significantly stronger linkage among the real estate assets compared to the equity assets in the long run. However, despite these long-term similarities, we also identify differences concerning the linkage to the respective economic environment. Accordingly, we find a close nexus of the US real estate market with the real economy, while the financial market indices in the UK are predominantly focused on each other.