On the Stablity of the Wealth Effect
AbstractEvidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices. A model-based explanation of the findings is suggested, highlighting the importance of the short-run relation between consumption, income and wealth in explaining the estimated long-run coefficients.
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Bibliographic InfoPaper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 14/2005.
Date of creation: 2005
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Other versions of this item:
- Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005. "On the Stability of the Wealth Effect," School of Economics Discussion Papers 1405, School of Economics, University of Surrey.
- Fernando Alexandre & Pedro Bação & Vasco Gabriel, 2005. "On the Stability of the Wealth Effect," GEMF Working Papers 2005-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Pedro BaÃ§Ã£o & Fernando Alexandre & Vasco J. Gabriel, 2006. "On the stability of the wealth effect," Computing in Economics and Finance 2006 281, Society for Computational Economics.
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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