Interest rate and the financial and housing wealth effects in ten CEEC

Mihaela Nicolau ()
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Mihaela Nicolau: CRIEF Poitiers; University of Tours

Economics Bulletin, 2020, vol. 40, issue 2, 1132-1145

Abstract: This article provides new evidence on the long- and short-run relationship between private consumption, housing wealth, stock market wealth, income and interest rate in ten CEEC. In order to assess this relationship empirically, we use pooled mean group estimator of dynamic heterogeneous panel data. Several conclusions can be drawn from the analysis presented in this paper. Firstly, personal consumption, stock market wealth, housing wealth, income and interest rate form a long-run equilibrium relationship in the countries under analysis. Secondly, according to the estimates from the baseline model, the long-run housing wealth effect is positive and is higher than the financial wealth effect. We also find negative and significant interest rate effect on consumption. Our findings corroborate the results of earlier studies. In the short-run, only income is significant.

Keywords: asset price channel; wealth effect; CEEC; cointegration; Pooled Mean Group estimator; panel ARDL (search for similar items in EconPapers)
JEL-codes: E2 F4 (search for similar items in EconPapers)
Date: 2020-04-29
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