Dynamic spillovers in the United States: stock market, housing, uncertainty, and the macroeconomy

Nikolaos Antonakakis, Christophe André, Rangan Gupta

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Abstract

In this study, we examine dynamic spillovers among the housing market, stock market, and economic policy uncertainty (EPU) in the United States in a unified empirical framework. Applying the Diebold and Yilmaz (2012) methodology on monthly data over the period 1987M1–2014M11, our findings reveal the following features. First, the transmission of various types of shocks contributes significantly to economic fluctuations 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 inflation, 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 stabilize the economy.
Original languageEnglish
Pages (from-to)609–624
JournalSouthern Economic Journal
Volume83
Issue number2
Early online date20 Jun 2016
DOIs
Publication statusPublished - Oct 2016

Keywords

  • United States

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