NAŠE GOSPODARSTVO / 
OUR ECONOMY

The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies

Anita Čeh Časni, Ksenija Dumičić, Josip Tica

Abstract


Following Friedman’s permanent income hypothesis and Ando and Modigliani’s
lifecycle hypothesis, this paper empirically studies the role of house prices
and income in determining the dynamic behaviour of consumption in selected
European post-transition economies using the panel vector autoregression
(PVAR) approach and quarterly data covering the period from the first quarter of
2002 until the second quarter of 2012. With the shocks being recognized using
the customary recursive identification scheme, we found that the response of
personal consumption to the housing wealth shock is initially positive, but
short lived.


Keywords


consumption; housing wealth effect; house prices; panel vector autoregression; European emerging markets

Full Text:

PDF

Refbacks

  • There are currently no refbacks.