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


  • Nikolaos Antonakakis

    () (Vienna University of Economics and Business, Department of Economics, Vienna, Austria)

  • Christophe Andre

    () (Economics Department, Organisation for Economic Co-operation and Development (OECD))

  • Rangan Gupta

    () (Department of Economics, University of Pretoria)


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.

Suggested Citation

  • Nikolaos Antonakakis & Christophe Andre & Rangan Gupta, 2015. "Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy," Working Papers 201521, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201521

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    1. repec:eee:finlet:v:27:y:2018:i:c:p:193-200 is not listed on IDEAS
    2. repec:eee:phsmap:v:499:y:2018:i:c:p:413-419 is not listed on IDEAS
    3. Gupta, Rangan & Wohar, Mark, 2017. "Forecasting oil and stock returns with a Qual VAR using over 150years off data," Energy Economics, Elsevier, vol. 62(C), pages 181-186.
    4. Goodness C. Aye & Matthew W. Clance & Rangan Gupta, 2017. "The Effect of Economic Uncertainty on the Housing Market Cycle," Working Papers 201757, University of Pretoria, Department of Economics.
    5. repec:eee:ecolet:v:180:y:2019:i:c:p:15-20 is not listed on IDEAS
    6. Goodness C. Aye & Rangan Gupta, 2018. "Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States," Working Papers 201832, University of Pretoria, Department of Economics.
    7. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy, 2019. "Time-varying impact of uncertainty shocks on the US housing market," Economics Letters, Elsevier, vol. 180(C), pages 15-20.
    8. Christou, Christina & Gupta, Rangan & Hassapis, Christis, 2017. "Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 50-60.
    9. repec:eee:eneeco:v:77:y:2019:i:c:p:66-79 is not listed on IDEAS
    10. Aviral Kumar Tiwari & Christophe Andre & Rangan Gupta, 2019. "Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains," Working Papers 201947, University of Pretoria, Department of Economics.

    More about this item


    Housing market; Spillover; Stock market; Variance decomposition; Vector autoregression; Economic policy uncertainty; US recession;

    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
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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