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The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies

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  • Čeh Časni Anita

    (Faculty of Economics and Business, Zagreb, Croatia, Trg J. F. Kennedya 6, 10000 Zagreb, Croatia)

  • Dumičić Ksenija
  • Tica Josip

    (University of Zagreb, Faculty of Economics and Business, Croatia)

Abstract

Following Friedman’s permanent income hypothesis and Ando and Modigliani’s lifecycle hypothesis, this paper empirically studies the role of house prices and income in determining the dynamic behaviour of consumption in selected European post-transition economies using the panel vector autoregression (PVAR) approach and quarterly data covering the period from the first quarter of 2002 until the second quarter of 2012. With the shocks being recognized using the customary recursive identification scheme, we found that the response of personal consumption to the housing wealth shock is initially positive, but short lived.

Suggested Citation

  • Čeh Časni Anita & Dumičić Ksenija & Tica Josip, 2016. "The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies," Naše gospodarstvo/Our economy, Sciendo, vol. 62(4), pages 23-32, December.
  • Handle: RePEc:vrs:ngooec:v:62:y:2016:i:4:p:23-32:n:3
    DOI: 10.1515/ngoe-2016-0021
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