Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
Beatrice Desiree Simo-Kengne,
Tsangyao Chang and
Authors registered in the RePEc Author Service: Mehmet Balcilar
Regional Studies, 2016, vol. 50, issue 10, 1728-1741
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:regstd:v:50:y:2016:i:10:p:1728-1741
Ordering information: This journal article can be ordered from
Access Statistics for this article
Regional Studies is currently edited by Ivan Turok
More articles in Regional Studies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().