Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82720
Authors: 
Chen, Jie
Year of Publication: 
2006
Series/Report no.: 
Working Paper, Department of Economics, Uppsala University 2006:16
Abstract: 
This paper extends the VECM cointegration model and PT (permanent-transitory) variance decomposition framework proposed by Lettau & Ludvigson (2004) and applies them on the Swedish data spanning from 1980q1 to 2004q4. There are strong statistical evidences that the movements of aggregate consumption, disposable income, housing wealth and financial wealth are tied together. However, it also suggests that the short run variations in the Swedish housing market are largely dissociated with consumer spending. Meanwhile, it is shown that the strength of the linkage between consumption and housing wealth is not sensitive to different model specifications and various measures of key variables.
Subjects: 
housing wealth
consumption
wealth effect
VECM
PT decomposition
JEL: 
E21
E32
E44
R31
Document Type: 
Working Paper

Files in This Item:
File
Size
469.83 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.