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/lp/de-gruyter/consumption-personal-income-financial-wealth-housing-wealth-and-long-3QlcmFEsk7
- Publisher
- de Gruyter
- Copyright
- © 2021 Walter de Gruyter GmbH, Berlin/Boston
- ISSN
- 1558-3708
- eISSN
- 1558-3708
- DOI
- 10.1515/snde-2020-0057
- Publisher site
- See Article on Publisher Site
Abstract
AbstractThis study investigates the long-run and short-run relationship between consumption, income, financial and housing wealth, and a long-term interest rate for the 50 US states. Using an updated set of quarterly data from 1975 to 2018, we perform panel cointegration analysis allowing for cross-sectional dependence. We obtain the following results. First, there is strong evidence for cointegration among consumption and its determinants. Second, estimates of the housing wealth and financial wealth elasticity of consumption range from 0.072 to 0.115 and 0.044 to 0.080, respectively. Finally, Granger causality tests show that there is a bidirectional short-term causality between per capita consumption, income, and financial wealth in the short run and between all the variables in the long run.
Journal
Studies in Nonlinear Dynamics & Econometrics – de Gruyter
Published: Jun 1, 2022
Keywords: 10-year treasury constant maturity rate; consumption; financial wealth; Granger causality; housing wealth; panel cointegration; wealth effects; E21; E44; R31