What drives regional differences in the stock market wealth effect in China? (original) (raw)
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1998
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SSRN Electronic Journal, 2000
This paper reviews the statistical approach typically applied by macroeconomists to investigate the empirical link between aggregate data on household consumption, income, and wealth. In particular, we focus on studies determining whether and how much changes in net worth, such as those generated by the stock-market boom in the U.S. over the latter 1990s, are responsible for subsequent swings in the growth rate of consumer spending. We show how simple economic theory is used to motivate an econometric strategy that consists of two stages of analysis. First, regressions are used to identify trend movements shared by consumption, income, and wealth over the long run, then deviations of these series from their common long-run trends are used to help forecast consumption growth over the short run. Our discussion highlights the various judgments that researchers must make in the course of implementing this empirical approach, and we detail how specific parameter estimates describing the magnitude of the wealth effect on consumption-and even broad conclusions about its existence-are affected by making alternative choices.
A primer on the economics and time series econometrics of wealth effects
choices, 2001
This paper reviews the statistical approach typically applied by macroeconomists to investigate the empirical link between aggregate data on household consumption, income, and wealth. In particular, we focus on studies determining whether and how much changes in net worth, such as those generated by the stock-market boom in the U.S. over the latter 1990s, are responsible for subsequent swings in the growth rate of consumer spending. We show how simple economic theory is used to motivate an econometric strategy that consists of two stages of analysis. First, regressions are used to identify trend movements shared by consumption, income, and wealth over the long run, then deviations of these series from their common long-run trends are used to help forecast consumption growth over the short run. Our discussion highlights the various judgments that researchers must make in the course of implementing this empirical approach, and we detail how specific parameter estimates describing the magnitude of the wealth effect on consumption-and even broad conclusions about its existence-are affected by making alternative choices.
The Financial Markets and Wealth Effects on Consumption: an Experimental Analysis
2003
The paper investigates the effects exerted by the ownership of quoted equities on intertemporal wealth allocation. To this end, it reports an experiment conducted with human subjects. The fact that an increasing share of household balances is allocated to equities raises numerous questions on the nature and magnitude of so-called 'wealth effects'. The traditional theories are based on the assumption of perfect rational agents and do not consider wealth effects in detail.
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RePEc: Research Papers in Economics, 2012
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