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

Author

Listed:
  • Yener Coskun

    (The University of Sheffield, Department of Urban Studies and Planning, Western Bank SheffieldS102TN, United Kingdom)

  • Christos Bouras

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

  • Rangan Gupta

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

  • Mark E. Wohar

    (College of Business Administration, University of Nebraska at Omaha, 6708 Pine Street, Omaha, NE 68182, USA, and School of Business and Economics, Loughborough University, Leicestershire, LE113TU, UK.)

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.

Suggested Citation

  • Yener Coskun & Christos Bouras & Rangan Gupta & Mark E. Wohar, 2019. "Multi-Horizon Financial and Housing Wealth Effects across the U.S. States," Working Papers 201958, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201958
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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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