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  • 标题:The Role of Asset Markets for Private Consumption: Evidence from Paneleconometric Models.
  • 本地全文:下载
  • 作者:Christian Dreger ; Hans-Eggert Reimers
  • 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
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