Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states

Kontana Dimitra and Stilianos Fountas
Additional contact information
Kontana Dimitra: Department of Economics, University of Macedonia, Thessaloniki, Greece

Studies in Nonlinear Dynamics & Econometrics, 2022, vol. 26, issue 3, 417-435

Abstract: This study investigates the long-run and short-run relationship between consumption, income, financial and housing wealth, and a long-term interest rate for the 50 US states. Using an updated set of quarterly data from 1975 to 2018, we perform panel cointegration analysis allowing for cross-sectional dependence. We obtain the following results. First, there is strong evidence for cointegration among consumption and its determinants. Second, estimates of the housing wealth and financial wealth elasticity of consumption range from 0.072 to 0.115 and 0.044 to 0.080, respectively. Finally, Granger causality tests show that there is a bidirectional short-term causality between per capita consumption, income, and financial wealth in the short run and between all the variables in the long run.

Keywords: 10-year treasury constant maturity rate; consumption; financial wealth; Granger causality; housing wealth; panel cointegration; wealth effects (search for similar items in EconPapers)
JEL-codes: E21 E44 R31 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1515/snde-2020-0057 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: A panel cointegration approach for 50 US states (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:26:y:2022:i:3:p:417-435:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.1515/snde-2020-0057

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().