The impact of changes in asset prices on real economic activity : a cointegration analysis for Germany
AbstractThis paper reviews theoretical and empirical evidence of asset price movements impact on the real economic activity. A key channel is the wealth effect on consumption. Fluctuations in stock prices and housing prices influence the households wealth and could have important impacts on households consumption. In addition, stock prices may affect corporate sector investments and property prices may affect building activity. Here, the method of cointegration is used to estimate the wealth effect and the investment effect in aggregate time series for Germany after the Reunification in 1990. Moreover, we discuss the role of asset prices in the monetary policy strategy of the ECB.
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Bibliographic InfoPaper provided by Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät in its series Statistische Diskussionsbeiträge with number 38.
Date of creation: Jun 2010
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More information through EDIRC
Stock Prices; Property Prices; Consumption; Investment; Central Banking Policy;
Find related papers by JEL classification:
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-CBA-2010-07-03 (Central Banking)
- NEP-MAC-2010-07-03 (Macroeconomics)
- NEP-URE-2010-07-03 (Urban & Real Estate Economics)
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