TY - JOUR
T1 - Causal relationship between asset prices and output in the United States
T2 - Evidence from the state-level panel Granger causality test
AU - Emirmahmutoglu, Furkan
AU - Bacilar, Mehmet
AU - Apergis, Nicholas
AU - Simo-Kengne, Beatrice
AU - Chang, Tsangyao
AU - Gupta, Rangan
PY - 2016/10/2
Y1 - 2016/10/2
N2 - Causal relationship between asset prices and output in the United States: evidence from the state-level panel Granger causality test, Regional Studies. This paper investigates the causal relationship between asset prices and output across US states using a bootstrap panel Granger causality approach which allows not only for heterogeneity and cross-sectional dependence to be accounted for but also interdependency between asset markets. Empirical results from a trivariate vector autoregression (VAR) comprising real house prices, real stock prices and real per capita personal income over 1975–2012 reveal the existence of a unidirectional causality running from both asset prices to output. This confirms the leading indicator property of asset prices for the real economy, while also substantiating the wealth and/or collateral transmission mechanism.
AB - Causal relationship between asset prices and output in the United States: evidence from the state-level panel Granger causality test, Regional Studies. This paper investigates the causal relationship between asset prices and output across US states using a bootstrap panel Granger causality approach which allows not only for heterogeneity and cross-sectional dependence to be accounted for but also interdependency between asset markets. Empirical results from a trivariate vector autoregression (VAR) comprising real house prices, real stock prices and real per capita personal income over 1975–2012 reveal the existence of a unidirectional causality running from both asset prices to output. This confirms the leading indicator property of asset prices for the real economy, while also substantiating the wealth and/or collateral transmission mechanism.
U2 - 10.1080/00343404.2015.1055462
DO - 10.1080/00343404.2015.1055462
M3 - Article
SN - 0034-3404
VL - 50
SP - 1728
EP - 1741
JO - Regional Studies
JF - Regional Studies
IS - 10
ER -