What caused the equity withdrawal mechanism? An investigation using threshold cointegration and error correction
This work investigates the mortgage equity withdrawal mechanism in the US economy from an empirical perspective. Using the threshold cointegration test of Enders and Siklos (2001), which allows for asymmetric adjustment, we find a cointegrating relationship among mortgage equity withdrawal, house prices and interest rates. In particular, we find that the speed of adjustment towards equilibrium is highly persistent above the appropriate estimated threshold, namely in the presence of favourable news. This finding is consistent with the theory of habit formation (Duesenberry, 1949) and conspicuous consumption (Veblen, 1899). Furthermore, this result helps to understand the complex issue of the consumption boom of the late 1990s.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 23 (2013)
Issue (Month): 2 (January)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:139-148. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.