Asymmetric Wealth Effects on Consumption: A Threshold Cointegration Approach on Swedish Households
(2017) NEKN01 20171Department of Economics
- Abstract
- Recognising the macroeconomic importance of private consumption, this thesis aims at
examining possible forces that drive changes the level of households’ consumption. I do so by
analysing the relationship of housing wealth, financial wealth, and consumption of households
in Sweden in the short and long run. Using an M-TAR approach I find evidence for
cointegration of these variables. Housing wealth and financial wealth appear to have positive
effects on total consumption in the long run. Consumption is the error-correcting variable in the
short run. However, without taking control variables into account, asymmetric disequilibrium
adjustment cannot be verified significantly. Introducing broad money supply, to control for
financial... (More) - Recognising the macroeconomic importance of private consumption, this thesis aims at
examining possible forces that drive changes the level of households’ consumption. I do so by
analysing the relationship of housing wealth, financial wealth, and consumption of households
in Sweden in the short and long run. Using an M-TAR approach I find evidence for
cointegration of these variables. Housing wealth and financial wealth appear to have positive
effects on total consumption in the long run. Consumption is the error-correcting variable in the
short run. However, without taking control variables into account, asymmetric disequilibrium
adjustment cannot be verified significantly. Introducing broad money supply, to control for
financial market conditions, results in weak evidence for the existence of asymmetric
adjustment of total private consumption. Overall, housing wealth effects and financial wealth
effects seem to play an important role in explaining changes in the level of consumption, and
thus are of relevance for policymakers in the macroeconomy. (Less) - Popular Abstract
- Recognising the macroeconomic importance of private consumption, this thesis aims at
examining possible forces that drive changes the level of households’ consumption. I do so by
analysing the relationship of housing wealth, financial wealth, and consumption of households
in Sweden in the short and long run. Using an M-TAR approach I find evidence for
cointegration of these variables. Housing wealth and financial wealth appear to have positive
effects on total consumption in the long run. Consumption is the error-correcting variable in the
short run. However, without taking control variables into account, asymmetric disequilibrium
adjustment cannot be verified significantly. Introducing broad money supply, to control for
financial... (More) - Recognising the macroeconomic importance of private consumption, this thesis aims at
examining possible forces that drive changes the level of households’ consumption. I do so by
analysing the relationship of housing wealth, financial wealth, and consumption of households
in Sweden in the short and long run. Using an M-TAR approach I find evidence for
cointegration of these variables. Housing wealth and financial wealth appear to have positive
effects on total consumption in the long run. Consumption is the error-correcting variable in the
short run. However, without taking control variables into account, asymmetric disequilibrium
adjustment cannot be verified significantly. Introducing broad money supply, to control for
financial market conditions, results in weak evidence for the existence of asymmetric
adjustment of total private consumption. Overall, housing wealth effects and financial wealth
effects seem to play an important role in explaining changes in the level of consumption, and
thus are of relevance for policymakers in the macroeconomy. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8923914
- author
- Wülfers, Jan Folke LU
- supervisor
-
- Emre Aylar LU
- organization
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- wealth effects, private consumption, PIH, cointegration, M-TAR model
- language
- English
- id
- 8923914
- date added to LUP
- 2017-09-12 11:53:23
- date last changed
- 2017-09-12 11:53:23
@misc{8923914, abstract = {{Recognising the macroeconomic importance of private consumption, this thesis aims at examining possible forces that drive changes the level of households’ consumption. I do so by analysing the relationship of housing wealth, financial wealth, and consumption of households in Sweden in the short and long run. Using an M-TAR approach I find evidence for cointegration of these variables. Housing wealth and financial wealth appear to have positive effects on total consumption in the long run. Consumption is the error-correcting variable in the short run. However, without taking control variables into account, asymmetric disequilibrium adjustment cannot be verified significantly. Introducing broad money supply, to control for financial market conditions, results in weak evidence for the existence of asymmetric adjustment of total private consumption. Overall, housing wealth effects and financial wealth effects seem to play an important role in explaining changes in the level of consumption, and thus are of relevance for policymakers in the macroeconomy.}}, author = {{Wülfers, Jan Folke}}, language = {{eng}}, note = {{Student Paper}}, title = {{Asymmetric Wealth Effects on Consumption: A Threshold Cointegration Approach on Swedish Households}}, year = {{2017}}, }