This article employs the Johansen and Engle–Granger methodology to determine if there is a cointegrating relationship between household debt and income inequality as measured by Atkinson, Piketty and Saez (2011). The results suggest a cointegrating relationship between the two series. A vector error correction model is estimated showing that a shock to household debt has statistically significant effects on income inequality in the United States over the time period 1919–2009.
MSU Digital Commons Citation
Berisha, Edmond; Meszaros, John; and Olson, Eric, "Income Inequality and Household Debt: A Cointegration Test" (2015). Department of Economics Faculty Scholarship and Creative Works. 29.
Berisha, E., Meszaros, J., & Olson, E. (2015). Income inequality and household debt: a cointegration test. Applied Economics Letters, 22(18), 1469-1473.