Housing Wealth and Aggregate Consumption in Sweden

Uppsala University Economics Working Paper No. 2006:16

56 Pages Posted: 2 Feb 2007

See all articles by Jie Chen

Jie Chen

Shanghai University of Finance and Economics

Date Written: August 1, 2006

Abstract

This paper extends the VECM cointegration model and PT (permanent-transitory) variance decomposition framework proposed by Lettau & Ludvigson (2004) and applies them on the Swedish data spanning from 1980q1 to 2004q4. There are strong statistical evidences that the movements of aggregate consumption, disposable income, housing wealth and financial wealth are tied together. However, it also suggests that the short run variations in the Swedish housing market are largely dissociated with consumer spending. Meanwhile, it is shown that the strength of the linkage between consumption and housing wealth is not sensitive to different model specifications and various measures of key variables.

Keywords: housing wealth, consumption, wealth effect, VECM, PT decomposition

JEL Classification: E21, E32, E44, R31

Suggested Citation

Chen, Jie, Housing Wealth and Aggregate Consumption in Sweden (August 1, 2006). Uppsala University Economics Working Paper No. 2006:16. Available at SSRN: https://ssrn.com/abstract=923896 or http://dx.doi.org/10.2139/ssrn.923896

Jie Chen (Contact Author)

Shanghai University of Finance and Economics ( email )

Shanghai, AK Shanghai 200433
China
00862165908835 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
140
Abstract Views
809
rank
204,156
PlumX Metrics