This paper studies the relationship between consumption and assets wealth based on the concept of cointegration. The analysis focuses on French data on the 1987 to 2006 period. This relationship is expressed in two ways: Marginal Propensity to Consume approach and Elasticity approach. Three...

1. General Introduction -- 2. Dynamics in Econometrics -- 3. Estimating the Model -- 4. Testing the Model -- 5. Non-Stationarity and Cointegration -- 6. Specifying the ARDL Model -- 7. Vector Autoregressions -- 8. Panel Data Models -- 9. Non-Stationary Panels -- 10. The Binary Qualitative Model.

Using second generation Panel Unit Root Tests (PURT), panel cointegration tests and panel Granger causality tests we find that although the financial crisis may have increased risk aversion for investors, it did not make disappearing speculative behaviours on structured credit markets. On the...