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Assessing financial and housing wealth effects through the lens of a nonlinear framework
[Le rôle de l’État dans les stratégies d’internationalisation des entreprises chinoises ? Une approche géoéconomique]

Author

Listed:
  • Fredj Jawadi

    (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Richard Soparnot

    (VALLOREM - Val de Loire Recherche en Management - UO - Université d'Orléans - Université de Tours, CRCGM - Centre de Recherche Clermontois en Gestion et Management - Clermont Auvergne - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA - Université Clermont Auvergne)

  • Ricardo M. Sousa

Abstract

This paper examines the effects of wealth on consumption for the US, the UK and the Euro area using a smooth-transition regression (STR) model. We find evidence of an asymmetric and time-varying relationship between consumption and wealth. Additionally, our model tracks consumption patterns reasonably well during periods of economic downturn, financial instability and housing market corrections. While wealth effects are not significant in the Euro area, they are statistically significant and time-varying in the US and the UK. Interestingly, changes in housing wealth are source of switching between regimes in the US.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Fredj Jawadi & Richard Soparnot & Ricardo M. Sousa, 2017. "Assessing financial and housing wealth effects through the lens of a nonlinear framework
    [Le rôle de l’État dans les stratégies d’internationalisation des entreprises chinoises ? Une approche géoéc
    ," Post-Print hal-01650524, HAL.
  • Handle: RePEc:hal:journl:hal-01650524
    DOI: 10.1016/j.ribaf.2014.11.004
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01650524
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • 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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