Naslov
The panel VAR approach to modelling the housing wealth effect : evidence from selected European post-transition economies

Autori
Čeh Časni, Anita ; Dumičić, Ksenija ; Tica, Josip

Izvornik
Naše gospodarstvo (0547-3101) 62 (2016), 4; 23-32

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
consumption ; housing wealth effect ; house prices ; panel vector autoregression ; European emerging markets

Sažetak
Following Friedman’s Permanent income hypothesis and Ando and Modigliani’s Life-cycle hypothesis, this paper empirically studies the role of house prices and income in determining the dynamic behaviour of consumption in selected European post-transition economies using the panel vector autoregression (PVAR) approach and quarterly data covering the period from the first quarter of 2002 to the second quarter of 2012. With the shocks being recognised using the customary recursive identification scheme, we have found that the response of personal consumption to the housing wealth shock is initially positive, but short- lived.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
This work has been fully supported by Croatian Science Foundation under the project STatistical Modelling for REspoNse to Crisis and Economic GrowTH in WeStern Balkan Countries -STRENGTHS (No.: IP 2013-9402)

POVEZANOST RADA