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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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File | Description | Size | Format | |
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Residential and stock market effects on consumption across Europe_revised version.pdf | 341.22 kB | Adobe PDF | View/Open |
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