Multi-horizon wealth effects across the G7 economies
Nicholas Apergis (),
Christina Christou and
Economic Modelling, 2018, vol. 72, issue C, 165-176
This paper investigates the nature of the intertemporal relationship between household wealth and private consumption across the G7 countries. We make use of the multistep non-causality test, recommended by Dufour et al. (2006) and the causality measures, recommended by Dufour and Taamouti (2010), to disentangle the dynamic relationship between stock market wealth, housing wealth, income and household consumption over different prediction horizons. Our results document the absence of short-horizon causality among the variables under study and the presence of long-horizon causality across variables.
Keywords: Wealth effects; Consumption; Multi-step causality; G7 countries (search for similar items in EconPapers)
JEL-codes: E21 E44 C30 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:72:y:2018:i:c:p:165-176
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().