Volatility in asset prices and long-run wealth effect estimates

被引：3

作者：

Alexandre, Fernando

Bacao, Pedro

Gabriel, Vasco J. ^{[1
]}

机构：

[1] Univ Surrey, Dept Econ, Surrey GU2 7XH, England

[2] Univ Minho, Dept Econ, Escola Econ & Gestao, P-4710057 Braga, Portugal

[3] Univ Coimbra, Fac Econ, P-3004512 Coimbra, Portugal

[4] Univ Coimbra, Grp Estudos Monetarios & Financeiros, P-3000 Coimbra, Portugal

来源：

ECONOMIC MODELLING | 2007年 / 24卷 / 06期

关键词：

parameter instability; Markov switching; consumption; wealth effect;

D O I：

10.1016/j.econmod.2007.04.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1048 / 1064

页数：17

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