期刊名称:DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度:2009
卷号:2009
出版社:Deutsches Institut für Wirtschaftsforschung, Berlin
摘要:We explore the long and short run relationship between private consumption,
disposable income and housing and financial wealth approximated by price indices
for a panel of industrialized countries. Consumption, income and wealth are
cointegrated in their common, but not in their idiosyncratic components. This
stresses the relevance of inter-national spillovers to explain aggregate
consumption behaviour. The cointegrating vector is robust and in line with the
life cycle permanent income hypothesis. The in-come elasticity does not differ
from unity, and wealth elasticities are within a range of 2 to 5 percent.
According to the error correction mechanism, consumption could not be
interpreted as a weakly exogenous series.
关键词:Permanent income hypothesis, panel cointegration, wealth effects