Threshold effects of housing affordability and financial development on the house price-consumption nexus
MetadataShow full item record
AbstractThe 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.
CitationApergis, 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.
JournalInternational Journal of Finance and Economics
The following license files are associated with this item:
- Creative Commons
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International