The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries

Alexander Ludwig and Torsten Sloek

No 2002/001, IMF Working Papers from International Monetary Fund

Abstract: This paper quantifies the different impact of stock and house prices on consumption using data for 16 OECD countries. The analysis finds that the long-run impact of an increase in stock prices and house prices is in general higher in countries with a market-based financial system. The sensitivity of consumption to changes in stock wealth is about twice as large as the sensitivity to changes in housing wealth. Splitting the sample into the 1980s and 1990s shows that both countries with a market-based financial system and countries with a bank-based financial system moved toward a higher degree of responsiveness of consumption to changes in stock prices and house prices.

Keywords: WP; consumption function; house price; stock option; Consumption; wealth effect; panel cointegration; asset prices; coefficient estimate; adjustment coefficient; stock market price; stock market price elasticity; reasonable coefficient estimate; estimation result; price data; price change; robustness of the housing price estimate; run coefficient; stock market wealth; Stock markets; Housing prices; Housing; Europe (search for similar items in EconPapers)
Pages: 37
Date: 2002-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (77)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=15554 (application/pdf)

Related works:
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:imf:imfwpa:2002/001

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().