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

Author

Listed:
  • Abdou-Aziz Niang

    (LEG/AMIE - CNRS UMR 5118 - Université de Bourgogne et Consortium pour la Recherche Economique et Sociale)

  • Abdoulaye Diagne

    (Université Cheikh Anta Diop de Dakar (Sénégal) et Consortium pour la Recherche Economique et Sociale)

  • Marie-Claude Pichery

    (LEG/AMIE - CNRS UMR 5118 - Université de Bourgogne)

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 non-stationary 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.

Suggested Citation

  • Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2010. "Exploring the finance-real economy link in U.S.: Empirical evidence from Panel Unit Root and Co-integration Analysis," LEG - Document de travail - Economie 2010-02, LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne.
    • Handle: RePEc:lat:legeco:e2010-02
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    More about this item

    Keywords

    Panic analysis; Panel Data; Common factors; Financial Crises; U.S;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D1 - Microeconomics - - Household Behavior
    • G1 - Financial Economics - - General Financial Markets
    • N12 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - U.S.; Canada: 1913-

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