How large is the housing wealth effect? A new approach

Arbeitspapier

This paper presents a simple new method for estimating the size of ‘wealth effects?on aggregate consumption. The method exploits the well-documented sluggishness of consumption growth (often interpreted as ‘habits?in the asset pricing literature) to distinguish between short-run and long-run wealth effects. In U.S. data, we estimate that the immediate (next-quarter) marginal propensity to consume from a $1 change in housing wealth is about 2 cents, with a final longrun effect around 9 cents. Consistent with most recent studies, we find a housing wealth effect that is substantially larger than the stock wealth effect. We believe that our approach has sounder theoretical foundations than the currently popular cointegration-based estimation methods, because neither theory nor evidence provides any reason for faith in the existence of a stable cointegrating vector.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 535

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Macroeconomics: Consumption; Saving; Wealth ; Business Fluctuations; Cycles ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Thema: Housing Wealth ; Wealth Effect ; Consumption Dynamics ; Asset Prices ; Immobilien ; Eigentum ; Vermögenseffekt ; Gesamtwirtschaftlicher Konsum ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Carroll, Christopher D. ; Otsuka, Misuzu ; Slacalek, Jirka
• Ereignis: Veröffentlichung
• (wer): The Johns Hopkins University, Department of Economics
• (wo): Baltimore, MD
• (wann): 2006

Weitere Informationen

• Handle: http://hdl.handle.net/10419/72036
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ