The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
AbstractThis paper studies how the change of wealth of households represented by housing prices and stock market prices influences households’ consumption. We provide empirical analysis based on the Czech aggregate data from 1998–2009. We analyse the effect of change in households’ wealth on the consumption of both durable and non-durable goods employing the VAR and VEC models on quarterly data. The robustness of results is verified by Dynamic OLS and Fully Modified OLS framework. We find a positive effect of both housing wealth and stock market wealth on both types of consumption. In case of non-durable goods consumption, we estimate the cointegrating vector and conclude that the elasticity of non-durable goods consumption with respect to housing wealth is over three times greater than with respect to stock market wealth.
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Bibliographic InfoPaper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2012/22.
Date of creation: Jul 2012
Date of revision: Jul 2012
households; housing prices; consumption; housing wealth; stock market wealth; VAR model; VECM;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-06 (All new papers)
- NEP-TRA-2012-10-06 (Transition Economics)
- NEP-URE-2012-10-06 (Urban & Real Estate Economics)
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- Oxana Babecka Kucharcukova & Michal Franta & Dana Hajkova & Petr Kral & Ivana Kubicova & Anca Podpiera & Branislav Saxa, 2013. "What We Know About Monetary Policy Transmission in the Czech Republic: Collection of Empirical Results," Research and Policy Notes 2013/01, Czech National Bank, Research Department.
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