Please use this identifier to cite or link to this item: http://hdl.handle.net/11328/836
Title: Residential and stock market effects on consumption across Europe.
Authors: Pacheco, Luís Miguel
Barata, José Martins
Keywords: Housing prices
Asset prices
Wealth effects
Consumption
European Union
Dynamic ordinary least squares
Error-correction models
Issue Date: 2005
Citation: Pacheco, L.M., & Barata, J.M. (2005). Residential and stock market effects on consumption across Europe. International Journal of Housing Policy, 5 (3), 255-278. DOI: 10.1080/14616710500342150.
Abstract: The aim of this paper is to explain private consumption as a function of income and wealth with data from European Union countries. To examine how the developments in housing and stock markets may have affected consumption behaviour, we adopt two econo- metric procedures. First, we use the Stock–Watson procedure to account for wealth effects on consumption over the long run. Second, through an error-correction model we measure wealth effects on consumption over the short run. We found significant albeit mixed values for the long-run elasticities of consumption with respect to real residential and equity prices. We also found strong evidence that consumption exhibits error-correction behaviour in the short run, with the value of the error-correction term signifying that household consumption takes several quarters to completely respond to changes in the markets.
URI: http://hdl.handle.net/11328/836
ISSN: 1461-6718
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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