Causal relationship between asset prices and output in the United States: Evidence from the state-level panel Granger causality test

Emirmahmutoglu, Furkan, Bacilar, Mehmet, Apergis, Nicholas, Simo-Kengne, Beatrice, Chang, Tsangyao and Gupta, Rangan (2015) Causal relationship between asset prices and output in the United States: Evidence from the state-level panel Granger causality test. Regional Studies, 50 (10). pp. 1728-1741. ISSN 0034-3404

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Official URL: http://dx.doi.org/10.1080/00343404.2015.1055462

Abstract

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.

Item Type: Article
Subjects: N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Ay Okpokam
Date Deposited: 27 Jul 2015 16:14
Last Modified: 03 Oct 2016 11:08
URI: http://nrl.northumbria.ac.uk/id/eprint/23447

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