Volatility in asset prices and long-run wealth effect estimates
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | , |
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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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 instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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 |
repository.mail.fl_str_mv |
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1799132386197241856 |