文章基本信息

标题：Interest rate and the financial and housing wealth effects in ten CEEC
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作者：Mihaela Nicolau
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2020
卷号：40
期号：2
页码：1-15
出版社：Economics Bulletin
摘要：This article provides new evidence on the long- and short-run relationship between private consumption, housingwealth, stock market wealth, income and interest rate in ten CEEC. In order to assess this relationship empirically, weuse pooled mean group estimator of dynamic heterogeneous panel data. Several conclusions can be drawn from theanalysis presented in this paper. Firstly, personal consumption, stock market wealth, housing wealth, income andinterest rate form a long-run equilibrium relationship in the countries under analysis. Secondly, according to theestimates from the baseline model, the long-run housing wealth effect is positive and is higher than the financial wealtheffect. We also find negative and significant interest rate effect on consumption. Our findings corroborate the results ofearlier studies. In the short-run, only income is significant.
关键词：asset price channel; wealth effect; CEEC; cointegration; Pooled Mean Group estimator; panel ARDL