101
Views
5
CrossRef citations to date
0
Altmetric
ARTICLES

Residential and Stock Market Effects on Consumption across Europe

&
Pages 255-278 | Published online: 17 Feb 2007

References

  • Ando , A. and Modigliani , F. 1963 . The life cycle hypothesis of saving: aggregate implications and tests . American Economic Review , 53 ( 1 ) : 55 – 84 . [CSA]
  • Aoki , K. , Proudman , J. and Vlieghe , G. 2002 . House prices, consumption, and monetary policy: a financial accelerator approach , Working Paper 169 Bank of England .
  • Attfield , C. , Demery , D. and Duck , N. 1992 . Partial adjustment and the permanent income hypothesis . European Economic Review , 36 : 1205 – 1222 . [CSA] [CROSSREF]
  • Barro , R. 1990 . The stock market and investment . Review of Financial Studies , 3 ( 1 ) : 115 – 131 . [CSA] [CROSSREF]
  • Bayoumi , T. and Edison , H. October 2002 . Is wealth increasingly driving consumption? , DNB Staff Reports Vol. 101 , October , De Nederlandsche Bank .
  • Bertaut , C. April 2002 . “ Equity prices, household wealth, and consumption growth in foreign industrial countries: wealth effects in the 1990s ” . In International Finance Discussion Papers , Vol. 724 , April , Board of Governors of the Federal Reserve System .
  • Bhatia , K. 1972 . Capital gains and the aggregate consumption function . American Economic Review , 62 December : 866 – 879 . [CSA]
  • Boone , L. , Giorno , C. and Richardson , P. 1998 . Stock market fluctuations and consumption behaviour: some sectoral estimates , Working Paper Vol. 208 , OECD Economics Department .
  • Borio , C. , Kennedy , N. and Prowse , S. April 1994 . Exploring aggregate asset price fluctuations across countries: measurement, determinants and monetary policy implications , BIS Economic Papers Vol. 40 , April , Bank for International Settlements .
  • Brady , P. , Canner , G. and Maki , D. July 2000 . “ The effects of recent mortgage refinancing ” . In Federal Reserve Bulletin July ,
  • Byrne , J. and Davis , E. 2001 . Disaggregate wealth and aggregate consumption: an investigation of empirical relationships for the G7 , London : mimeo Brunel University .
  • Carroll , C. 1992 . The buffer stock theory of saving: some macroeconomic evidence . Brookings Papers on Economic Activity , 2 : 61 – 156 . [CSA]
  • Carruth , A. , Gibson , H. and Tsakalotos , E. 1999 . Are aggregate consumption relationships similar across the European Union? . Regional Studies , 33 ( 1 ) : 17 – 26 . [CSA] [CROSSREF]
  • Case , K. , Quigley , J. and Shiller , R. 2005 . Comparing wealth effects: the stock market versus the housing market . Advances in Macroeconomics , 5 ( 1 ) : 1 – 34 . [CSA] [CROSSREF]
  • Davidson , J. , Hendry , D. , Srba , F. and Yeo , S. 1978 . Economic modelling of the aggregate time series relationship between consumers' expenditure and income in the United Kingdom . Economic Journal , 88 : 661 – 692 . [CSA]
  • Davis , M. and Palumbo , M. 2001 . A primer on the economics and time series econometrics of wealth effects , Finance and Economics Discussion Series 2001 – 09 . Board of Governors of the Federal Reserve System .
  • Deaton , A. 1991 . Saving and liquidity constraint . Econometrica , 59 ( 6 ) : 1221 – 1248 . [CSA]
  • Dickey , D. and Fuller , W. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 . [CSA]
  • Engle , R. and Granger , C. 1987 . Cointegration and error–correction: representation, estimation, and testing . Econometrica , 55 March : 251 – 276 . [CSA]
  • European Mortgage Federation . 2004 . Hypostat 2003 – European Housing Finance Review , Brussels : European Mortgage Federation .
  • Fama , E. 1981 . Stock returns, real activity, inflation, and money . American Economic Review , 71 ( 4 ) : 545 – 565 . [CSA]
  • Fisher , S. and Merton , R. 1984 . Macroeconomics and finance: the role of the stock market' . Carnegie-Rochester Conference Series on Public Policy , 21 [CSA]
  • Friedman , M. 1957 . A Theory of the Consumption Function , Princeton , NJ : Princeton University Press .
  • Gali , J. 1990 . Finite horizons, life-cycle saving and time-series evidence on consumption . Journal of Monetary Economics , 26 December : 433 – 452 . [CSA] [CROSSREF]
  • Gertler , M. , Goodfriend , M. , Issing , O. and Spaventa , L. 1998 . Asset Prices and Monetary Policy: Four Wiews , Basel : BIS/CEPR .
  • Girouard , N. and Blondal , S. 2001 . House prices and economic activity , Working Paper Vol. 279 , OECD Economics Department .
  • Granger , C. 1983 . Cointegrated variables and error–correction models , Discussion Paper 83-13 San Diego , CA : University of California .
  • Green , R. 2002 . Stock prices and house prices in California: new evidence of a wealth effect . Regional Science and Urban Economics , 32 : 775 – 783 . [CSA] [CROSSREF]
  • Grunspan , T. and Sicsic , P. 1997 . Les Effects de Richesse , Rapport Annuel 187 – 192 . Conseil National du Credit et du Titre .
  • Hall , R. 1978 . Stochastic implications of life cycle-permanent income hypothesis: theory and evidence . Journal of Political Economy , 86 : 971 – 987 . [CSA] [CROSSREF]
  • Hamilton , J. 1994 . Time Series Analysis , Princeton , NJ : Princeton University Press .
  • Hendry , D. and von Ungern-Sternberg , T. 1981 . “ Liquidity and inflation effects on consumers' expenditure ” . In Essays in the Theory and Measurement of Consumers' Behaviour , Edited by: Deaton , A. S. 237 – 261 . Cambridge : Cambridge University Press .
  • Henley , A. and Morley , B. 2001 . European house price volatility and the macroeconomy: the implications for European Monetary Union , mimeo, School of Management and Business, University of Wales .
  • Johansen , S. 1988 . Statistical analysis of cointegrating vectors . Journal of Economics Dynamics and Control , 12 ( 2/3 ) : 231 – 254 . [CSA] [CROSSREF]
  • Johansen , S. 1991 . Estimation and hypothesis testing of cointegrating vectors in gaussian vector autoregressive models . Econometrica , 56 ( 6 ) : 1551 – 1580 . [CSA]
  • Kennedy , N. and Anderson , P. 1994 . Household saving and real housing prices: an international perspective , Working Paper 20 Basle : Bank for International Settlements .
  • Laitner , J. and Juster , F. 1996 . New evidence on altruism: a study of TIAA-CREF retirees . American Economic Review , 86 ( 4 ) : 893 – 908 . [CSA]
  • Ludvigson , S. and Steindel , C. 1999 . How important is the stock market effect on consumption? . Economic Policy Review , 5 ( 2 ) : 29 – 51 . [CSA]
  • Ludwig , A. and Sloek , T. 2004 . The relationship between stock prices, house prices and consumption in OECD countries . Topics in Macroeconomics , 4 ( 1 ) [CSA] [CROSSREF]
  • McKinnon , J. 1991 . “ Critical values for cointegration tests ” . In Long Run Economic Relationships: Readings in Cointegration , Edited by: Engle , R. and Granger , C. 267 – 276 . Oxford : Oxford University Press .
  • Mehra , Y. 2001 . The wealth effect in empirical life cycle aggregate consumption equations . Economic Quarterly , 87 ( 2 ) : 45 – 68 . [CSA]
  • Miles , D. 1992 . Housing markets, consumption and financial liberalization in the major economies . European Economic Review , 36 : 1093 – 1136 . [CSA] [CROSSREF]
  • Modigliani , F. 1971 . “ Monetary policy and consumption ” . In Consumer Spending and Monetary Policy: The Linkages , Conference Series 5 9 – 84 . Boston , MA : Federal Reserve Bank of Boston .
  • Modigliani , F. and Tarantelli , E. 1975 . The consumption eunction in the developing economy and the Italian experience . American Economic Review , 65 ( 5 ) : 825 – 842 . [CSA]
  • Muellbauer , J. and Lattimore , R. 1995 . “ The consumption function ” . In Handbook of Applied Econometrics: Macroeconomics , Edited by: Pesaran , M. H. and Wickens , M. Oxford : Blackwell .
  • Muellbauer , J. and Murphy , A. 1994 . Explaining regional consumption in the UK , Oxford : mimeo, Nuffield College .
  • Park , J. and Phillips , P. 1988 . Statistical inference in regressions with integrated processes: part 1 . Econometric Theory , 4 : 468 – 497 . [CSA]
  • Patterson , K. 2000 . An Introduction to Applied Econometrics: A Time Series Approach , New York : Palgrave .
  • Pichette , L. September 2000 . Les Effets Réels du Cours des Actions sur la Consommation , Working Paper 2000-21 September , Bank of Canada .
  • Pichette , L. and Tremblay , D. October 2003 . Are wealth effects important for Canada? , Working Paper 2003-30 October , Bank of Canada .
  • Poterba , J. 2000 . Stock market, wealth and consumption . Journal of Economic Perspectives , 14 ( 2 ) : 99 – 118 . [CSA]
  • Poterba , J. and Samwick , A. 1995 . Stock ownership patterns, stock market fluctuations, and consumption . Brookings Papers on Economic Activity , 2 : 295 – 372 . [CSA]
  • Romer , C. 1990 . The great crash and the onset of the Great Depression . Quarterly Journal of Economics , 105 : 597 – 624 . [CSA]
  • Steindel , C. 1977 . Personal consumption, property income and corporate saving , PhD, dissertation Massachusetts Institute of Technology .
  • Stock , J. and Watson , M. 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 55 ( 5 ) July : 113 – 144 . [CSA]
  • Tinsley , P. 1993 . Fitting both data and theories: polynomial adjustment costs and error-correction decision rules , Finance and Economics Discussion Series 1993-21 Board of Governors of the Federal Reserve System .
  • Wilhelm , O. 1996 . Bequest behaviour and the effects of heirs' earnings: testing the altruistic model of bequests . American Economic Review , 86 ( 4 ) September : 874 – 892 . [CSA]
  • Zeldes , S. 1989 . Consumption and liquidity constraints: an empirical investigation . Journal of Political Economy , 97 ( 2 ) : 305 – 346 . [CSA] [CROSSREF]

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.