Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test

被引：29

作者：

Emirmahmutoglu, Furkan ^{[1
]}

Balcilar, Mehmet ^{[2
]}

Apergis, Nicholas ^{[3
]}

Simo-Kengne, Beatrice D. ^{[2
]}

Chang, Tsangyao ^{[4
]}

Gupta, Rangan ^{[2
]}

机构：

[1] Gazi Univ, Dept Econometr, Ankara, Turkey

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Northumbria Univ, Newcastle Upon Tyne, Tyne & Wear, England

[4] Feng Chia Univ, Dept Finance, 100 Wenhua Rd, Taichung 40724, Taiwan

来源：

REGIONAL STUDIES | 2016年 / 50卷 / 10期

关键词：

House prices; Stock prices; Output; Granger causality; HOUSE PRICES; FORECASTING INFLATION; FINANCIAL VARIABLES; INFERENCE; GROWTH;

D O I：

10.1080/00343404.2015.1055462

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1728 / 1741

页数：14

共 31 条

[1]

[Anonymous], 2000, WP0089 IMF

[2] THE DYNAMIC RELATIONSHIP BETWEEN HOUSE PRICES AND OUTPUT: EVIDENCE FROM US METROPOLITAN AREAS [J].