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., Gupta R.

REGIONAL STUDIES, cilt.50, sa.10, ss.1728-1741, 2016 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 50 Sayı: 10
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1080/00343404.2015.1055462
  • Dergi Adı: REGIONAL STUDIES
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI)
  • Sayfa Sayıları: ss.1728-1741
  • Anahtar Kelimeler: House prices, Stock prices, Output, Granger causality, HOUSE PRICES, FORECASTING INFLATION, FINANCIAL VARIABLES, INFERENCE, GROWTH
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

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.