Time-Varying Effects of Housing and Stock Returns on U.S. Consumption

Journal of Real Estate Finance and Economics

Volumn 50, Issue 3, 2015, Pages 339-354

  Simo Kengne, Beatrice D ^a   Miller, Stephen M ^b   Gupta, Rangan ^a   Aye, Goodness C ^a  

^a UNIVERSITY OF PRETORIA   (South Africa)

^b UNIVERSITY OF NEVADA   (United States)

Author keywords

Asset Returns; Consumption; Time Varying Parameter Vector Autoregressive

Indexed keywords

EID: 84939876938     PISSN: 08955638     EISSN: 1573045X     Source Type: Journal    
DOI: 10.1007/s11146-014-9470-3     Document Type: Article

References (26)

1. Aoki, K., Proudman, J., & Vlieghe, G. (2004). House Prices, Consumption and Monetary Policy: A Financial Accelerator Approach. Journal of Financial Intermediation, 13, 414–435.
2. Aye, G. C., Gupta, R., Kaninda, A., Nyakabawo, W. V., & Razak, A. (2013). House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach. Corporate Ownership and Control. http://web.up.ac.za/sitefiles/file/40/677/WP_2013_09.pdf.
3. Benjamin, J. D., Chinloy, P., & Jud, G. D. (2004). Real Estate Versus Financial Wealth in Consumption. Journal of Real Estate Finance and Economics, 29, 341–354.
4. Brady, R., & Stimel, D. (2011). How the housing and financial wealth effects have changed over time. The B.E. Journal of Macroeconomics. 11, 1 (Topics), Article 28.
5. Carroll, C. D., Otsuka, M., & Slacalek, J. (2006). How large is the housing wealth effect? A new Approach. Working Paper No. 12746, National Bureau of Economic Research.
6. Case, K., Shiller, R., & Quigley, J. (2005). Comparing Wealth Effects: The Stock Market Versus the Housing Market. Advances in Macroeconomics, 5, 1–32.
7. Dickey, D., & Fuller, W. (1981). Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root. Econometrica, 49, 1057–1072.
8. Dvornak, N., & Kohler, M. (2007). Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia. The Economic Record, 83, 117–130.
9. Geweke, J. (1992). Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. In J. M. Bernado, J. O. Berger, A. P. Dawid, & A. F. M. Smith (Eds.), Bayesian statistics (pp. 169–188). New York: Oxford University Press.
10. Iacoviello, M. (2011). Housing wealth and consumption. International Finance Discussion Paper 1027, Federal Reserve Board.
11. Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231–254.
12. Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551–1580.
13. Kishor, K. N. (2007). Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? if so, why? Journal of Real Estate Finance and Economics, 35, 427–448.
14. Leonard, J. A. (2010). The Impact of the Housing Market Boom and Bust on Consumption Spending. Business Economics, 45, 83–93.
15. Lettau, M., & Ludvigson, S. C. (2004). Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption. American Economic Review, 94, 276–299.
16. Ludwig, A., & Sløk, T. (2001). The impact of stock prices and house prices on consumption in OECD countries. Working Paper no. 01/xx, Research Department, International Monetary Fund.
17. Mishkin, F. (2007). Housing and the Monetary Transmission Mechanism. Working Paper, Finance and Economic Discussion Series, Federal Reserve Board.
18. Nakajima, J. (2011). Time-Varying Parameter VAR Model With Stochastic Volatility: An Overview of Methodology and Empirical Applications. Monetary and Economic Studies, 107–142.
19. Ng, S., & Perron, P. (2001). Lag Lenth Selection and the Construction of Unit Root Tests With Good Size and Power. Econometrica, 69, 1519–1554.
20. Phillips, P., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335–346.
21. Poterba, J. M. (2000). Stock Market Wealth and Consumption. Journal of Economic Perspectives, 14, 99–118.
22. Primiceri, G. E. (2005). Time Varying Structural Vector Autoregressions and Monetary Policy. Review of Economic Studies, 72, 821–852.
23. Shiller, R. J. (2005). Irrational exuberance. Princeton, New Jersey: Princeton University Press.
24. Sousa, R. M. (2008). Financial Wealth, Housing Wealth and Consumption. International Research Journal of Finance and Economics, 19, 167–191.
25. Wilkerson, C. R., & Williams, M. D. (2011). Booms and busts in household wealth: implications for tenth district states (pp. 63–86). Second Quarter: Economic Review.
26. Zhou, X., & Carroll, C. D. (2012). Dynamics of Wealth and Consumption: new and Improved Measures for U.S. States. The B.E. Journal of Macroeconomics, 12, 4.