Interrelations between Consumption and Wealth in Poland
AbstractThis paper studies the long-run relationship between consumption, labour income and asset wealth in Poland. Within cointegrated VAR model dynamic responses of the variables in the system to shocks are studied. In addition, series are decomposed into permanent and transitory components on the basis of the cointegrating relation found in the system. Main conclusion of this paper is that deviations of the three variables from their estimated long-run relationship are better explained with fluctuations of labour income than assets. A tentative explanation of this finding is presented. Additionally, the magnitude of the asset wealth effect in Poland is calculated and compared with other studies for European countries and for the U.S.
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Bibliographic InfoArticle provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.
Volume (Year): 2 (2010)
Issue (Month): 1 (January)
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Web page: http://cejeme.org/
consumption; wealth; cointegration; Beveridge-Nelson decomposi- tion; impulse responses;
Other versions of this item:
- Magdalena Zachłod-Jelec, 2010. "Interrelations between consumption and wealth in Poland," Working Papers 2, Ministry of Finance in Poland.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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