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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 872
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
We explore the long and short run relationship between private consumption, disposable income and housing and financial wealth approximated by price indices for a panel of industrialized countries. Consumption, income and wealth are cointegrated in their common, but not in their idiosyncratic components. This stresses the relevance of inter-national spillovers to explain aggregate consumption behaviour. The cointegrating vector is robust and in line with the life cycle permanent income hypothesis. The in-come elasticity does not differ from unity, and wealth elasticities are within a range of 2 to 5 percent. According to the error correction mechanism, consumption could not be interpreted as a weakly exogenous series.
Schlagwörter: 
Permanent income hypothesis
panel cointegration
wealth effects
JEL: 
C23
E21
E32
G15
Dokumentart: 
Working Paper

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