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 D.
AU - Chang, Tsangyao
AU - Gupta, Rangan
N1 - Publisher Copyright:
© 2015 Regional Studies Association.
PY - 2016/10/2
Y1 - 2016/10/2
N2 - Emirmahmutoglu F., Bacilar 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.
AB - Emirmahmutoglu F., Bacilar 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.
KW - Granger causality
KW - House prices
KW - Output
KW - Stock prices
UR - http://www.scopus.com/inward/record.url?scp=84937152826&partnerID=8YFLogxK
U2 - 10.1080/00343404.2015.1055462
DO - 10.1080/00343404.2015.1055462
M3 - Article
AN - SCOPUS:84937152826
SN - 0034-3404
VL - 50
SP - 1728
EP - 1741
JO - Regional Studies
JF - Regional Studies
IS - 10
ER -