Asset Prices and Real Economic Activity

E Davis ()

No 764, OECD Economics Department Working Papers from OECD Publishing

Abstract: A survey of the literature on asset price impacts on the real economy shows a much wider range of work on consumption and related wealth effects than on investment. The existence of wealth effects on consumption is little contested, but there remains an issue of whether different effects should hold between countries and across assets. There is less empirical work available on investment, partly reflecting poor results for Tobin?s Q, the user cost of capital and the financial accelerator. Panel investment functions for up to 23 OECD countries are estimated. Significant asset price effects from the financial accelerator and Tobin?s Q are found especially for the G7 countries as well as uncertainty effects as proxied by asset price volatility, but they only matter for the smaller OECD countries.

Les prix des actifs et l'économie réelle Un examen des etudes consacrees a l.impact des prix des actifs sur l.economie reelle montre que beaucoup plus de travaux portent sur la consommation et les effets connexes de patrimoine que sur l.investissement. L.existence d.effets de patrimoine sur la consommation n.est guere contestee, mais il reste a savoir si les differents effets sont valables d.un pays et d.un actif a l.autre. Les travaux empiriques sur l.investissement sont moins nombreux, en partie parce que les resultats sont mediocres pour le Q de Tobin, le cout d.usage du capital et l.accelerateur financier. On a estime des fonctions d.investissement sur donnees de panel pouvant couvrir jusqu'a 23 pays de l'OCDE. On constate des effets sensibles de prix des actifs dus a l.accelerateur financier et au Q de Tobin en particulier pour les pays du G7, et egalement des effets d.incertitude etablis a travers la volatilite des prix des actifs, mais ces derniers effets ne sont importants que pour les petits pays de la zone de l'OCDE.

Keywords: accélérateur financier; aggregate fixed investment; asset prices; canal du crédit; credit channel; effet de patrimoine sur la consommation; financial accelerator; incertitude; investissement fixe total; prix des actifs; Q de Tobin; Tobin's Q; uncertainty; wealth effect on consumption (search for similar items in EconPapers)
JEL-codes: E22 E44 F31 G31 (search for similar items in EconPapers)
Date: 2010-05-04
New Economics Papers: this item is included in nep-bec, nep-cba and nep-mac
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Citations: View citations in EconPapers (10)

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