Showing 1 - 10 of 11
We build a panel of 14 emerging economies to estimate the magnitude of housing, stock market, and money wealth effects on consumption. Using modern panel data econometric techniques and quarterly data for the period 1990/1-2008/2, we show that; (i) wealth effects are statistically significant...
Persistent link: https://www.econbiz.de/10005572453
In this work, we analyse the importance of disaggregation of wealth into main components (financial and housing wealth). We show, from the consumer´s intertemporal budget constraint, that the residuals of the trend relationship among consumption, financial wealth, housing wealth and labor...
Persistent link: https://www.econbiz.de/10005572466
Recent fluctuations of financial markets, especially, stock markets fluctuations, have revived the interest concerning the dynamics of real economic activity, namely, of private consumption. In this work, the role of stock market as a determinant of private consumption is analyzed, namely, by...
Persistent link: https://www.econbiz.de/10005771599
I use the consumer’s budget constraint to derive a relationship between stock market returns, the residuals of the trend relationship among consumption, aggregate wealth, and labour income, cay, and three major sources of risk: future changes in the housing consumption share, cr, future labour...
Persistent link: https://www.econbiz.de/10005771636
Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices. A model-based explanation of the findings is...
Persistent link: https://www.econbiz.de/10005827126
In this work, I analyze the response of consumption and asset returns to unexpected wealth variation. Using data at quarterly frequency for the U.S. and the U.K., I show that: (i) while housing wealth shocks have a very persistent effect on consumption, financial wealth shocks only have...
Persistent link: https://www.econbiz.de/10008516536
In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence...
Persistent link: https://www.econbiz.de/10009364526
In this paper, we show, using the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that,...
Persistent link: https://www.econbiz.de/10009364530
In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents...
Persistent link: https://www.econbiz.de/10008873493
In this paper, I assess the forecasting power of the residuals of the trend relationship among consumption, aggregate wealth, and labour income for stock returns and government bond yields in the euro area, the UK and the US . I find that when stock returns are expected to be higher in the...
Persistent link: https://www.econbiz.de/10008633159