The panel VAR approach to modelling the housing wealth effect : evidence from selected European post-transition economies (CROSBI ID 233258)
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Čeh Časni, Anita ; Dumičić, Ksenija ; Tica, Josip
engleski
The panel VAR approach to modelling the housing wealth effect : evidence from selected European post-transition economies
Following Friedman’s Permanent income hypothesis and Ando and Modigliani’s Life-cycle 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 to the second quarter of 2012. With the shocks being recognised using the customary recursive identification scheme, we have found that the response of personal consumption to the housing wealth shock is initially positive, but short- lived.
consumption ; housing wealth effect ; house prices ; panel vector autoregression ; European emerging markets
This work has been fully supported by Croatian Science Foundation under the project STatistical Modelling for REspoNse to Crisis and Economic GrowTH in WeStern Balkan Countries -STRENGTHS (No.: IP 2013-9402)
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