Threshold effects of housing affordability and financial development on the house price-consumption nexus
Name:
Threshold Effects of Housing ...
Embargo:
2022-08-28
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224.4Kb
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Microsoft Word 2007
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Accepted Manuscript
Abstract
The study explores the asymmetric effect of housing and financial wealth on household consumption behavior using panel data from 24 OECD countries, spanning the period 2000 to 2016 by employing a financial development (FD) index (proxy for financial deepening) and the house price-to-income (HPI) ratio (proxy for housing affordability) through a threshold empirical framework. The analysis tests certain hypotheses, such as: (i) the housing wealth effect on consumption is stronger than its financial counterpart, (ii) overall wealth effects increase (decrease) during bubble (post bubble) periods, (iii) the higher level of financial development and the lower level of housing affordability ratio both result in stronger wealth effects, (iv) increasing wealth effects show a bubble formation. The results suggest that housing wealth has generally a greater positive effect on consumption. The effect of housing and financial wealth on consumption increases, depending on higher financial development and declining housing affordability. The evidence also suggests that the impact of housing and stock market wealth has increased during the dot.com and housing bubble periods.Citation
Apergis, N., Coskun, E., and Coscun, Y. (2020). 'Threshold effects of housing affordability and financial development on the house price-consumption nexus'. International Journal of Finance and Economics, pp. 1-22.Publisher
WileyJournal
International Journal of Finance and EconomicsDOI
10.1002/ijfe.2242Additional Links
https://onlinelibrary.wiley.com/journal/10991158https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2242
Type
ArticleLanguage
enISSN
1076-9307EISSN
1099-1158ae974a485f413a2113503eed53cd6c53
10.1002/ijfe.2242
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