International Wealth Effects

Jiri Slacalek

No 425, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: This paper presents a detailed investigation of the wealth effect for 16 industrial countries using the recently proposed technique that exploits the sluggishness of consumption growth. I argue that, compared to the widespread cointegration-based methodology, the approach I apply has better theoretical foundations and is more immune to parameter instability. Empirically, this new technique implies smaller magnitude of the wealth effect in the G-8 countries and larger size of the income effect. I also document that the wealth effect tends to be larger in countries with more developed financial markets and has decreased substantially in the last twenty years

Keywords: wealth effect; income effect; consumption dynamics (search for similar items in EconPapers)
JEL-codes: C22 E21 E32 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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http://repec.org/sce2006/up.16135.1141154631.pdf (application/pdf)

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Working Paper: International Wealth Effects (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:425

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