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Autor
Zachłod-Jelec Magdalena (Polish Ministry of Finance)
Tytuł
Interrelations between Consumption and Wealth in Poland
Źródło
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2010, vol. 2, nr 1, s. 37-58, rys., tab., bibliogr. 13 poz.
Słowa kluczowe
Konsumpcja, Dochody, Zamożność społeczeństwa, Dochody z pracy
Consumption, Income, Society affluence, Labour income
Uwagi
summ.; Klasyfikacja JEL: C32, E21
Abstrakt
This paper studies the long-run relationship between consumption, labour income and asset wealth in Poland. Within cointegrated VAR model dynamic responses of the variables in the system to shocks are studied. In addition, series are decomposed into permanent and transitory components on the basis of the cointegrating relation found in the system. Main conclusion of this paper is that deviations of the three variables from their estimated long-run relationship are better explained with fluctuations of labour income than assets. A tentative explanation of this finding is presented. Additionally, the magnitude of the asset wealth effect in Poland is calculated and compared with other studies for European countries and for the U.S. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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Bibliografia
Pokaż
  1. Campbell J. Y., (1987), Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis, Econometrica, 55, 1249-1273.
  2. Campbell J. Y., (1996), Understanding Risk and Return, Journal of Political Economy, 104, 298-345.
  3. Campbell J. Y., Mankiw N. G., (1989), Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence, NBER Macroeconomics Annual 1989, vol. 4.
  4. Fernandez-Corugedo E., Price S., Blake A., (2007), The Dynamics of Aggregate UK Consumers' Non-Durable Expenditure, Economic Modelling, 24, 453-469.
  5. Garratt A., Robertson D., Wright S., (2006), Permanent vs. Transitory Components and Economic Fundamentals, Journal of Applied Econometrics, 21, 521-542.
  6. Hall R. E., (1978), Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence, Journal of Political Economy, 96, 971-987.
  7. Hamburg B., Hoffmann M., Keller J., (2005), Consumption, Wealth and Business Cycles: Why is Germany Different?, Discussion Paper Series 1: Economic Studies, no. 16, Deutsche Bundesbank.
  8. Hayashi F., (1982), The Permanent Income Hypothesis: Estimation and Testing by Instrumental Variables, Journal of Political Economy, 90, 895-916.
  9. Juselius K., (2006), The cointegrated VAR model. Methodology and applications, Oxford University Press, Oxford.
  10. King R. G., Plosser C. I., Stock J. H., Watson M. W., (1991), Stochastic Trends and Economic Fluctuations, American Economic Review, 81, 819-840.
  11. Lettau M., Ludvigson S., (2001), Consumption, Aggregate Wealth and Expected Stock Returns, Journal of Finance, 56, 815-849.
  12. Lettau M., Ludvigson S., (2004), Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption, American Economic Review, 94, 276-299.
  13. Sousa R. M., (2009), Wealth Effects on Consumption. Evidence from the Euro Area, Working Paper Series, no. 1050, European Central Bank.
Cytowane przez
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ISSN
2080-0886
Język
eng
URI / DOI
http://dx.doi.org/10.24425/cejeme.2010.119319
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