Volatility in asset prices and long-run wealth effect estimates

Detalhes bibliográficos
Autor(a) principal: Alexandre, Fernando
Data de Publicação: 2007
Outros Autores: Bação, Pedro, Gabriel, Vasco J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/7626
Resumo: We argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increases. Estimation of a Markov-switching model of the usual long-run aggregate consumption equation provides evidence favourable to the indeterminacy hypothesis.
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spelling Volatility in asset prices and long-run wealth effect estimatesParameter instabilityMarkov switchingConsumptionWealth effectSocial SciencesWe argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increases. Estimation of a Markov-switching model of the usual long-run aggregate consumption equation provides evidence favourable to the indeterminacy hypothesis.Fundação para a Ciência e a Tecnologia (FCT) - POCI/ EGE/56054/2004ElsevierUniversidade do MinhoAlexandre, FernandoBação, PedroGabriel, Vasco J.20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/7626eng0264-999310.1016/j.econmod.2007.04.004info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:08:13Zoai:repositorium.sdum.uminho.pt:1822/7626Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:59:26.535713Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Volatility in asset prices and long-run wealth effect estimates
title Volatility in asset prices and long-run wealth effect estimates
spellingShingle Volatility in asset prices and long-run wealth effect estimates
Alexandre, Fernando
Parameter instability
Markov switching
Consumption
Wealth effect
Social Sciences
title_short Volatility in asset prices and long-run wealth effect estimates
title_full Volatility in asset prices and long-run wealth effect estimates
title_fullStr Volatility in asset prices and long-run wealth effect estimates
title_full_unstemmed Volatility in asset prices and long-run wealth effect estimates
title_sort Volatility in asset prices and long-run wealth effect estimates
author Alexandre, Fernando
author_facet Alexandre, Fernando
Bação, Pedro
Gabriel, Vasco J.
author_role author
author2 Bação, Pedro
Gabriel, Vasco J.
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Alexandre, Fernando
Bação, Pedro
Gabriel, Vasco J.
dc.subject.por.fl_str_mv Parameter instability
Markov switching
Consumption
Wealth effect
Social Sciences
topic Parameter instability
Markov switching
Consumption
Wealth effect
Social Sciences
description We argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increases. Estimation of a Markov-switching model of the usual long-run aggregate consumption equation provides evidence favourable to the indeterminacy hypothesis.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/7626
url http://hdl.handle.net/1822/7626
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0264-9993
10.1016/j.econmod.2007.04.004
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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