 Asymmetric causality between the U.S. housing market and its stock market: Evidence from state level dataMohsen Bahmani-Oskooee and Seyed Hesam Ghodsi The Journal of Economic Asymmetries, 2018, vol. 18, issue C, - Abstract: Previous research that investigated the link between the U.S. housing market and its stock market concentrated on the wealth effect by assuming the stock prices to be another determinant of house prices. However, the meltdown of housing market and its subsequent impact on the stock market and the U.S. economy in 2008 pointed to causal relation that could run from housing market to stock market. When we tested this hypothesis using state level data, we found short-run symmetric causality from stock prices to house prices in 10 states and from house prices to stock prices in 20 states. However, when we engaged in asymmetric causality, these numbers increased to 25 and 41 respectively. Surprisingly, in 39 out of 41 states in which house prices caused stock prices, it was decline in house prices that caused stock prices, supporting the events of 2008 as well as asymmetric impacts. We also found cointegration of the two markets in more than half of the states. Keywords: Asymmetric causality; House prices; Stock prices; State level data (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:18:y:2018:i:c:11 DOI: 10.1016/j.jeca.2018.e00095 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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