EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
On the Stability of the Wealth Effect
Fernando Alexandre and
Vasco J. Gabriel
School of Economics Discussion Papers from School of Economics, University of Surrey
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)
JEL-codes: E21 E44 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-mac
References: View references in EconPapers View complete reference list from CitEc Citations Track citations by RSS feed
Downloads: (external link) http://www.fahs.surrey.ac.uk/economics/discussion_papers/2005/DP14-05.pdf (application/pdf)
Related works: Working Paper: On the stability of the wealth effect (2006) Working Paper: On the Stability of the Wealth Effect (2005) Working Paper: On the Stablity of the Wealth Effect (2005) This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:sur:surrec:1405
Access Statistics for this paper
More papers in School of Economics Discussion Papers from School of Economics, University of Surrey
Contact information at EDIRC. Series data maintained by Alex Mandilaras ().