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Multi-Horizon Financial and Housing Wealth Effects across the U.S. States

Yener Coskun (), Christos Bouras (), Rangan Gupta () and Mark Wohar ()
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Christos Bouras: University of Piraeus, Department of Banking and Financial Management, Greece

No 201958, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine multi-horizon wealth effects across U.S. states over the period of 1975:Q1 to 2012:Q2 by utilizing multi-horizon non-causality testing (Dufour et al., 2006) and multi-horizon causality measurement (Dufour and Taamouti, 2010). We find in both that housing wealth has a more statistically significant, persistent, and widespread impacts than financial wealth on state/aggregate levels. We also find that state-level housing/financial wealth effects show heterogenity accross the U.S. Moreover, except the result of multi-horizon causality measure for financial wealth, the evidence show the presence of financial/housing wealth effects for consumption in longer horizons. State-level evidence suggests that state-level policies may specifically utilize the housing market to support consumption and growth.

Keywords: Consumption; housing wealth effect; financial wealth effect; multi-step causality (search for similar items in EconPapers)
JEL-codes: C32 E21 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ure
Date: 2019-08
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