Exploring the finance-real economy link in U.S.: Empirical evidence from Panel Unit Root and Cointegration Analysis

Abdou-Aziz Niang (), Abdoulaye Diagne and Marie-Claude Pichery

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to analyze the relationships between common shocks affecting the real economy and those underlying co-fluctuations in U.S. financial markets. In order to do this, we test for links between these common factors and also use the econometric theory of nonstationary panel data to estimate the relationships. The estimates prove the existence of significant relationships between financial and macroeconomic factors. It is also shown that there are forces pulling U.S. financial markets to move with the real economy, as seen through nearly instantaneous adjustment to a new equilibrium.

Keywords: PANIC analysis; Panel Data; Common factors; Financial Crises; U.S (search for similar items in EconPapers)
JEL-codes: C23 D01 G01 N12 (search for similar items in EconPapers)
Date: 2010-05
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Journal Article: Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23531

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