消费、个人收入、金融财富、住房财富和长期利率:美国50个州的面板协整方法

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-06-09 DOI:10.1515/snde-2020-0057

Dimitra Kontana, Stilianos Fountas

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引用次数: 0

摘要

本研究考察了美国50个州的消费、收入、金融和住房财富与长期利率之间的长期和短期关系。使用1975年至2018年的一组更新的季度数据，我们进行了允许横截面依赖的面板协整分析。我们得到以下结果。首先，有强有力的证据表明消费及其决定因素之间存在协整关系。其次，对消费的住房财富弹性和金融财富弹性的估计范围分别为0.072 ~ 0.115和0.044 ~ 0.080。最后，格兰杰因果检验表明，人均消费、收入、金融财富三者之间短期存在双向因果关系，各变量之间长期存在双向因果关系。

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Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states

Abstract This 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.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.