Empirical Study on Wealth Effect of Asset Price Bubbles

被引：0

作者：

Hu, Wen-xiu ^{[1
]}

Fu, Qiang ^{[1
]}

Wu, Ting-ting ^{[1
]}

机构：

[1] Xian Univ Technol, Fac Econ & Management, Xian, Shaanxi, Peoples R China

来源：

INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND MANAGEMENT ENGINEERING (ITME 2014) | 2014年

关键词：

Asset price bubbles; Wealth effect; Household consumption; FINANCIAL WEALTH; CONSUMPTION;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Based on LC-PIH analysis framework, used Johansen Cointegration Test, we made a comparison of the wealth effect of U.S. stock market and real estate market in the period in which they have bubbles and don't have bubbles, to study the effect of asset price bubble on household consumption through wealth effect. The empirical results show that: (i) there are positive, significant wealth effect in the stock market and real estate market when they both have bubbles; (ii) the wealth effect in real estate market is 2.8 times larger than that in stock market when they both have bubbles; (iii) asset price bubbles, especially the real estate price bubble can significantly stimulate consumption growth through wealth effect, and then affect macroeconomic.

引用

页码：426 / 432

页数：7

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