From real estate to consumption: the role of credit markets in the USA

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dc.contributor.authorMárquez De La Cruz, Elena
dc.contributor.authorMartínez Cañete, Ana Rosa
dc.contributor.authorPérez-Soba Aguilar, Inés
dc.date.accessioned2024-07-04T09:28:24Z
dc.date.available2024-07-04T09:28:24Z
dc.date.issued2014-03-17
dc.description.abstractThe aim of this article is to test whether the credit market conditions affect the strength of transmission of real estate wealth effects on household consumption in the US economy. Although many different works have dealt with the analysis of the existence of a real estate wealth effect, most of them as a reaction to the dramatic increase of housing prices in several OECD countries, there are only few papers analysing whether the consumption response depends on the positive or negative sign of the wealth shock and, as far as we know, none of them takes the effects of credit market conditions on that asymmetric response into account. This article tries to fill the existing gap in the literature on this matter. From an econometric perspective, we estimate the asymmetries in the consumption response within the momentum threshold autoregressive model (M-TAR) proposed by Enders and Siklos (2001), but following Stevans (2004), it is applied to a multivariate framework. The main results show that the credit market conditions play a significant role in the transmission of changes in real estate wealth to consumption. In addition, we find that there exists an asymmetric behaviour in the US aggregate consumption spending responses to real estate wealth and credit market shocks, which is only significant when a negative shock takes place.
dc.description.departmentDepto. de Economía Aplicada, Pública y Política
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.sponsorshipMinisterio de Economía y Competitividad (España)
dc.description.statuspub
dc.identifier.citationMárquez, E., Martínez-Cañete, A. R., & Pérez-Soba, I. (2014). From real estate to consumption: the role of credit markets in the USA. Applied Economics, 46(18), 2178–2189. https://doi.org/10.1080/00036846.2014.896986
dc.identifier.doi10.1080/00036846.2014.896986
dc.identifier.essn1466-4283
dc.identifier.issn0003-6846
dc.identifier.officialurlhttps://doi.org/10.1080/00036846.2014.896986
dc.identifier.urihttps://hdl.handle.net/20.500.14352/105608
dc.issue.number18
dc.journal.titleApplied Economics
dc.language.isoeng
dc.page.final2189
dc.page.initial2178
dc.publisherRoutledge
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-31941/ES/POLITICAS MACROECONOMICAS Y HERRAMIENTAS PARA GESTIONAR EL RIESGO EN UN CONTEXTO DE CRISIS ECONOMICA Y FINANCIERA/
dc.rights.accessRightsrestricted access
dc.subject.jelD12
dc.subject.jelE21
dc.subject.keywordconsumption
dc.subject.keywordreal estate wealth effect
dc.subject.keywordcredit conditions index
dc.subject.keywordhousing liquidity index
dc.subject.keywordnonlinear cointegration
dc.subject.keywordM-TAR models
dc.subject.keywordasymmetric adjustment
dc.subject.ucmEconomía
dc.subject.unesco53 Ciencias Económicas
dc.titleFrom real estate to consumption: the role of credit markets in the USA
dc.typejournal article
dc.type.hasVersionVoR
dc.volume.number46
dspace.entity.typePublication
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relation.isAuthorOfPublication06376186-3ad8-48c5-b151-fc101fdf8843
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