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

Author

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  • Yener Coskun

    (Capital Market Board of Turkey, TED University, Mustafa Kemal Mah, Dumlupinar Blv, 06530 Ankara, Turkey)

  • Christos Bouras

    (Department of Banking and Financial Management, University of Piraeus, 18534 Piraeus, Greece)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria 0002, South Africa)

  • Mark E. Wohar

    (College of Business Administration, University of Nebraska at Omaha, Omaha, NE 68182, USA)

Abstract

We investigate for the presence of multi-horizon wealth effects across U.S. states over the period of 1975:Q2 to 2012:Q2 by utilizing multi-horizon non-causality testing and multi-horizon causality measurement. At the state/aggregate level, we document that housing wealth has more statistically significant and persistent impact on private consumption than financial wealth. We also find that state-level housing/financial wealth effects are present at long time horizons and exhibit heterogeneity across the U.S. From a policy perspective, we suggest that state-level policies may specifically utilize the housing market to support consumption and growth.

Suggested Citation

  • Yener Coskun & Christos Bouras & Rangan Gupta & Mark E. Wohar, 2021. "Multi-Horizon Financial and Housing Wealth Effects across the U.S. States," Sustainability, MDPI, vol. 13(3), pages 1-20, January.
    • Handle: RePEc:gam:jsusta:v:13:y:2021:i:3:p:1341-:d:488356
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    More about this item

    Keywords

    consumption; housing wealth effect; financial wealth effect; multi-step causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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