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/10316/5483 https://doi.org/10.1016/j.econmod.2007.04.004 |
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 effectWe 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.http://www.sciencedirect.com/science/article/B6VB1-4NX8RJJ-1/1/2b78ec7d9ee267646bd02d1f87b06b422007info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleaplication/PDFhttp://hdl.handle.net/10316/5483http://hdl.handle.net/10316/5483https://doi.org/10.1016/j.econmod.2007.04.004engEconomic Modelling. 24:6 (2007) 1048-1064Alexandre, FernandoBação, PedroGabriel, Vasco J.info: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:RCAAP2020-11-06T16:48:58Zoai:estudogeral.uc.pt:10316/5483Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:45:38.486140Repositório 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 |
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.author.fl_str_mv |
Alexandre, Fernando Bação, Pedro Gabriel, Vasco J. |
dc.subject.por.fl_str_mv |
Parameter instability Markov switching Consumption Wealth effect |
topic |
Parameter instability Markov switching Consumption Wealth effect |
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 |
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/10316/5483 http://hdl.handle.net/10316/5483 https://doi.org/10.1016/j.econmod.2007.04.004 |
url |
http://hdl.handle.net/10316/5483 https://doi.org/10.1016/j.econmod.2007.04.004 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Economic Modelling. 24:6 (2007) 1048-1064 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
aplication/PDF |
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 |
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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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1799133730935144448 |