VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence

Sheng Guo and Umut Unal

No 1103, Working Papers from Florida International University, Department of Economics

Abstract: We estimate the wealth effects of housing and stock market wealth using time-series data for eight developed countries. In estimation we employ the structural vector-autoregressive regressions (SVAR), which articulate the dynamic interactions of shocks to housing prices, stock values, and disposable incomes. Our results show that for these countries the initial consumption response to housing price shocks is greater than to stock market capitalization shocks, but the long-run consumption response to the latter is more persistent than to the former.

Keywords: Wealth Effect; Consumption; Housing; Stock Market (search for similar items in EconPapers)
JEL-codes: D12 D14 E21 E44 G12 R31 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011-05
New Economics Papers: this item is included in nep-mac and nep-ure
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http://casgroup.fiu.edu/pages/docs/3501/1304994927_11-03.pdf First version, 2011 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:fiu:wpaper:1103

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