VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence
AbstractWe estimate the wealth effects of housing and stock market wealth using time-series data for eight developed countries. In estimation we employ the structural vector-autoregressive regressions (SVAR), which articulate the dynamic interactions of shocks to housing prices, stock values, and disposable incomes. Our results show that for these countries the initial consumption response to housing price shocks is greater than to stock market capitalization shocks, but the long-run consumption response to the latter is more persistent than to the former.
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Bibliographic InfoPaper provided by Florida International University, Department of Economics in its series Working Papers with number 1103.
Length: 27 pages
Date of creation: May 2011
Date of revision:
Wealth Effect; Consumption; Housing; Stock Market;
Find related papers by JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- D14 - Microeconomics - - Household Behavior - - - Personal Finance
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Production Analysis, and Firm Location - - - Housing Supply and Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
- NEP-MAC-2011-05-24 (Macroeconomics)
- NEP-URE-2011-05-24 (Urban & Real Estate Economics)
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