Thick modelling income and wealth effects: a forecast application to euro area private consumption

Gabe de Bondt, Arne Gieseck and Zivile Zekaite
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Arne Gieseck: European Central Bank

Empirical Economics, 2020, vol. 58, issue 1, No 11, 257-286

Abstract: Abstract This study develops a thick modelling tool for real private consumption, with a conditional forecasting application to the euro area. Several equations from thousands of error correction models, always including labour income, non-labour income, financial wealth and non-financial wealth as determinants, are selected from predetermined in-sample and out-of-sample criteria. Our thick model estimates show that income effects differ between labour and non-labour income and that their (relative) importance varies over time. This implies that labour and non-labour income should both be on the radar of policy makers and modellers.

Keywords: Thick modelling; Private consumption; Income; Wealth (search for similar items in EconPapers)
JEL-codes: C53 D12 E21 E27 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00181-019-01738-w

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