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The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies

Čeh Časni Anita (), Dumičić Ksenija () and Josip Tica ()
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Čeh Časni Anita: Faculty of Economics and Business, Zagreb, Croatia, Trg J. F. Kennedya 6, 10000 Zagreb, Croatia

Naše gospodarstvo/Our economy, 2016, vol. 62, issue 4, 23-32

Abstract: Following Friedman’s permanent income hypothesis and Ando and Modigliani’s lifecycle hypothesis, this paper empirically studies the role of house prices and income in determining the dynamic behaviour of consumption in selected European post-transition economies using the panel vector autoregression (PVAR) approach and quarterly data covering the period from the first quarter of 2002 until the second quarter of 2012. With the shocks being recognized using the customary recursive identification scheme, we found that the response of personal consumption to the housing wealth shock is initially positive, but short lived.

Keywords: consumption; housing wealth effect; house prices; panel vector autoregression; European emerging markets (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/ngoe-2016-0021

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