<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p></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.

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

Faculty of Economics and Business, Zagreb, Croatia, Trg J. F. Kennedya 6, 10000 Zagreb,

University of Zagreb, Faculty of Economics and Business,

Naše gospodarstvo/Our economy

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Following Friedman’s permanent income hypothesis and Ando and Modigliani’s lifecycle hypothesis, this paper empirically studies the role of house prices and...

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

Publié en ligne: 22 déc. 2016

Pages: 23 - 32

Reçu: 01 oct. 2016

Accepté: 01 nov. 2016

DOI: https://doi.org/10.1515/ngoe-2016-0021

Mots clés
consumption, housing wealth effect, house prices, panel vector autoregression, European emerging markets

© 2016

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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

Publié en ligne: 22 déc. 2016

Pages: 23 - 32

Reçu: 01 oct. 2016

Accepté: 01 nov. 2016

DOI: https://doi.org/10.1515/ngoe-2016-0021

Mots clésconsumption, housing wealth effect, house prices, panel vector autoregression, European emerging markets

© 2016

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
consumption, housing wealth effect, house prices, panel vector autoregression, European emerging markets