VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence
Sheng Guo and
Umut Unal ()
No 1103, Working Papers from Florida International University, Department of Economics
We estimate the wealth effects of housing and stock market wealth using time-series data for eight developed countries. In estimation we employ the structural vector-autoregressive regressions (SVAR), which articulate the dynamic interactions of shocks to housing prices, stock values, and disposable incomes. Our results show that for these countries the initial consumption response to housing price shocks is greater than to stock market capitalization shocks, but the long-run consumption response to the latter is more persistent than to the former.
Keywords: Wealth Effect; Consumption; Housing; Stock Market (search for similar items in EconPapers)
JEL-codes: E21 E44 D12 D14 G12 R31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ure
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http://casgroup.fiu.edu/pages/docs/3501/1304994927_11-03.pdf First version, 2011 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:fiu:wpaper:1103
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