New Zealand has experienced unprecedented growth in house prices, rent prices, and net wealth per adult over the last three decades. This incredible growth has led to New Zealand political parties and media outlets arguing that the residential property market is driving economic inequality. Despite these claims, only a few studies have empirically tested the impact of house prices on income or wealth inequality using New Zealand data. This thesis contributes to those few studies, analysing the relationship using aggregated annual data from 1995 to 2020. This is the most extended period for any New Zealand analysis. The primary analysis approach is an autoregressive distributed lag (ARDL) model used in conjunction with a principal components analysis, both of which perform well with small sample sizes. An increase in house prices is found to decrease the wealth Gini coefficient and increase the income Gini coefficient in the short- and long-run; all else held constant. The analysis gives evidence of heterogeneity in the relationship—different deciles experience varying changes in wealth or income share following a house price shock. Heterogeneity arises because housing-related assets are disproportionately allocated across the income and wealth distribution. The heterogeneity across deciles can lead to contrasting results for different inequality measures. Furthermore, the wealth inequality heterogeneity becomes accentuated during a negative house price shock in the short-run. This is driven by the differing ability of deciles to reshuffle their asset portfolios in response to a house price shock. However, the wealth inequality relationship becomes symmetric in the long-run, while for the income distribution, the heterogeneity is always symmetric. A non-linear ARDL approach estimates potential asymmetries and separates the behaviours in the short- and long-run. Previous research rarely analyses wealth and income inequality measures concurrently, while this thesis employs two strategies to do so. First, a seemingly unrelated regression is used, which has an efficiency gain when accounting for the joint disturbances. The efficiency gain yields more accurate model estimates with less variance. Second, a system of equations is utilised. Controlling for income inequality in the wealth inequality model lowers the impact of house prices on wealth inequality. However, when the simultaneity issue is mitigated, controlling for both inequality types concurrently makes minimal difference to the house price estimates. Finally, introducing loan-to-value ratio restrictions for residential property is found to have no significant impact on wealth inequality but increases the income Gini coefficient in the same period. Overall, this thesis provides valuable insights into the complex relationship between the New Zealand housing market and economic inequality.