Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test. Issue 10 (2nd October 2016)

• Record Type: Journal Article
• Authors: Emirmahmutoglu, Furkan; Balcilar, Mehmet; Apergis, Nicholas; Simo-Kengne, Beatrice D.; Chang, Tsangyao; Gupta, Rangan
• Is Part Of: Regional studies. Volume 50:Issue 10(2016)
• Page Start: 1728
• Page End: 1741
• Publication Date: 2016-10-02
• Subjects: 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; Regional planning -- Periodicals; Regional planning -- Great Britain -- Periodicals; 307.14
• DOI: 10.1080/00343404.2015.1055462
• Languages: English
• ISSNs: 0034-3404

Abstract

Abstract : 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.