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Wealth Effects Revisited: Quantile Canonical Cointegrating Regression Approach (in Korean)

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  • Ki-Ho Kim

    (Economic Research Institute, Bank of Korea)

Abstract

This paper analyzes the effects of wealth and household debt on household consumption expenditure using macro time series data by quantile regression. For this purpose, we propose the QCCRE(Quantile Canonical Cointegrating Regression Estimator). The QCCRE provides an estimation method for quantile regression with non-stationary time series data. The estimator is a solution to the Koenker and Bassetts (1978)¡¯s minimization problem, and its asymptotic distribution follows a mixed normal distribution. The estimation results show that disposible income has a positive effect which confirms previous research. Financial assets (stock price index) have a positive wealth effect, however, household¡¯s real assets (house price index) have a negative wealth effect which is different from previous research. Household debt has a positive effect on household consumption. However, the net effects of household debt may be smaller or even insignificant because household debt is sum of martgage loan and non-martgage loans that have opposite effects on household consumption.

Suggested Citation

  • Ki-Ho Kim, 2019. "Wealth Effects Revisited: Quantile Canonical Cointegrating Regression Approach (in Korean)," Working Papers 2019-21, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1921
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    More about this item

    Keywords

    Quantile Regression; CCR; Consumption;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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