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Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
Emirmahmutoglu F., Balcilar M., Apergis N., Simo-Kengne B. D., Chang T. and Gupta R. 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.
Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
Emirmahmutoglu F., Balcilar M., Apergis N., Simo-Kengne B. D., Chang T. and Gupta R. 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.
Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
Emirmahmutoglu, Furkan (author) / Balcilar, Mehmet (author) / Apergis, Nicholas (author) / Simo-Kengne, Beatrice D. (author) / Chang, Tsangyao (author) / Gupta, Rangan (author)
Regional Studies ; 50 ; 1728-1741
2016-10-02
14 pages
Article (Journal)
Electronic Resource
English
House prices , Stock prices , Output , Granger causality , 住宅价格 , 股票价格 , 产出 , 格兰杰因果关係 , Prix de l'immobilier , Valeur des actions , Production , Causalité au sens de Granger , Hauspreise , Aktienkurse , Produktion , Granger-Kausalität , Precios de la vivienda , Cotizaciones bursátiles , Producción , Causalidad de Granger , C33 , G10 , O18
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