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L'effet de la richesse sur la consommation aux États-Unis

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  • Yanick Desnoyers
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    Abstract

    The substantial growth in wealth over the course of the second half of the 1990s generated the equivalent of a certain level of savings, while simultaneously causing household savings rates to fall significantly. The author seeks to explain this decline in savings, observed since 1995, using the methodology developed by King, Plosser, Stock, and Watson (1991). In contrast to the results obtained in a number of other studies, those presented here demonstrate that the wealth effect on consumption is transitional rather than permanent, dissipating quite rapidly. The methodology allows the author to account for the endogeneity of the model's variables, while also identifying the reaction of consumption to permanent shocks to income, stock wealth, and housing wealth. It further allows the author to compute the marginal propensity of households to consume from stock wealth, which turns out to be about 5.8 per cent. Consequently, about half of the fall in the savings rate observed since 1995 can be explained by the significant increase in stock wealth during this period. The other half is attributable to the increase in housing wealth and in the marginal propensity to consume from income.

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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 01-14.

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    Length: 45 pages
    Date of creation: 2001
    Date of revision:
    Handle: RePEc:bca:bocawp:01-14

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    Keywords: Domestic demand and components;

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    References

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    1. Martha Starr-McCluer, 1998. "Stock market wealth and consumer spending," Finance and Economics Discussion Series 1998-20, Board of Governors of the Federal Reserve System (U.S.).
    2. Mankiw, N. Gregory & Zeldes, Stephen P., 1991. "The consumption of stockholders and nonstockholders," Journal of Financial Economics, Elsevier, vol. 29(1), pages 97-112, March.
    3. Sydney Ludvigson & Charles Steindel, 1999. "How important is the stock market effect on consumption?," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 29-51.
    4. Ben Bernanke & Mark Gertler, 2000. "Monetary Policy and Asset Price Volatility," NBER Working Papers 7559, National Bureau of Economic Research, Inc.
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    7. Orazio Attanasio & James Banks & Sarah Tanner, 1998. "Asset holding and consumption volatility," IFS Working Papers W98/08, Institute for Fiscal Studies.
    8. Laurence Boone & Claude Giorno & Pete Richardson, 1998. "Stock Market Fluctuations and Consumption Behaviour: Some Recent Evidence," OECD Economics Department Working Papers 208, OECD Publishing.
    9. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
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    12. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
    13. Agell, Jonas & Edin, Per-Anders, 1990. " Marginal Taxes and the Asset Portfolios of Swedish Households," Scandinavian Journal of Economics, Wiley Blackwell, vol. 92(1), pages 47-64.
    14. Timothy Cogley & Heather Royer, 1998. "The baby boom, the baby bust, and asset markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun26.
    15. Lalonde, René, 1998. "Le PIB potentiel des États-Unis et ses déterminants : la productivité de la main-d'oeuvre et le taux d'activité," Working Papers 98-13, Bank of Canada.
    16. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Working Papers 98-21, Bank of Canada.
    17. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October.
    18. Fisher, Lance A. & Huh, Hyeon-Seung & Summers, Peter M., 2000. "Structural Identification of Permanent Shocks in VEC Models: A Generalization," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 53-68, January.
    19. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
    20. Lise Pichette, 2000. "Les effets réels du cours des actions sur la consommation," Working Papers 00-21, Bank of Canada.
    21. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
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