Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy

Nikolaos Antonakakis, Christophe André and Rangan Gupta

No 201521, Working Papers from University of Pretoria, Department of Economics

Abstract: In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock market, housing and economic policy uncertainty (EPU). Based on monthly data over the period 1987M1 to 2014M11, our findings reveal the following features. First, the transmission of various types of shocks contributes significantly to economic uctuations in the United States. Second, spillovers show large variations over time. Third, in the wake of the global financial crisis, spillovers have been exceptionally high in historical perspective. In particular, we find large spillovers from EPU, as well as stock market and housing returns to other variables, in particular in ation, industrial production and the federal funds rate. These results illustrate the contagion from the housing and financial crisis to the real economy and the strong policy reaction to stabilise the economy.

Keywords: Housing market; Spillover; Stock market; Variance decomposition; Vector autoregression; Economic policy uncertainty; US recession (search for similar items in EconPapers)
JEL-codes: C32 E40 E50 G10 G20 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015-04
New Economics Papers: this item is included in nep-mac and nep-ure
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Journal Article: Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy (2016)
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