On the Stablity of the Wealth Effect

Fernando Alexandre (), Pedro Bação and Vasco J. Gabriel

No 14/2005, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices. A model-based explanation of the findings is suggested, highlighting the importance of the short-run relation between consumption, income and wealth in explaining the estimated long-run coefficients.

Keywords: Parameter instability; Markov switching; consumption; wealth effect. (search for similar items in EconPapers)
Date: 2005
View list of references

Downloads: (external link)
http://www3.eeg.uminho.pt/economia/nipe/docs/2005/NIPE_WP_14_2005.PDF (application/pdf)

Related works:
Working Paper: On the Stability of the Wealth Effect (2005)
Working Paper: On the Stability of the Wealth Effect (2005)
Working Paper: On the stability of the wealth effect (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nip:nipewp:14/2005

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in NIPE Working Papers from NIPE - Universidade do Minho
Address: Núcleo de Investigação em Políticas Económicas, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal
Contact information at EDIRC.
Series data maintained by Maria João Thompson ().