EconPapers    
Economics at your fingertips  
 

Assessing financial and housing wealth effects through the lens of a nonlinear framework

Fredj Jawadi, Richard Soparnot and Ricardo Sousa

Research in International Business and Finance, 2017, vol. 39, issue PB, 840-850

Abstract: This paper examines the effects of wealth on consumption for the US, the UK and the Euro area using a smooth-transition regression (STR) model. We find evidence of an asymmetric and time-varying relationship between consumption and wealth. Additionally, our model tracks consumption patterns reasonably well during periods of economic downturn, financial instability and housing market corrections. While wealth effects are not significant in the Euro area, they are statistically significant and time-varying in the US and the UK. Interestingly, changes in housing wealth are source of switching between regimes in the US.

Keywords: Consumption; Financial wealth; Housing wealth; Asymmetry; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C22 E21 G01 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531914000774
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Assessing financial and housing wealth effects through the lens of a nonlinear framework (2017)
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: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pb:p:840-850

DOI: 10.1016/j.ribaf.2014.11.004

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:riibaf:v:39:y:2017:i:pb:p:840-850