Housing Wealth and Aggregate Consumption in Sweden

Jie Chen

No 2006:16, Working Paper Series from Uppsala University, Department of Economics

Abstract: This paper extends the VECM cointegration model and PT (permanent-transitory) variance decomposition framework proposed by Lettau & Ludvigson (2004) and applies them on the Swedish data spanning from 1980q1 to 2004q4. There are strong statistical evidences that the movements of aggregate consumption, disposable income, housing wealth and financial wealth are tied together. However, it also suggests that the short run variations in the Swedish housing market are largely dissociated with consumer spending. Meanwhile, it is shown that the strength of the linkage between consumption and housing wealth is not sensitive to different model specifications and various measures of key variables.

Keywords: housing wealth; consumption; wealth effect; VECM; PT decomposition (search for similar items in EconPapers)
JEL-codes: E21 E32 E44 R31 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2006-06-10
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:uunewp:2006_016

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