House prices, collateral constraint, and the asymmetric effect on consumption

Nan Kuang Chen, Shiu Sheng Chen, Yu Hsi Chou*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

28 引文 斯高帕斯(Scopus)

摘要

This paper investigates the asymmetric effect of house prices on various categories of consumption under constrained and unconstrained regimes. We first present a simple theoretical model based on Iacoviello (2004) and Luengo-Prado (2006), explicitly considering the dual role of housing and linking credit constraints to the behavior of consumption in a pair of aggregate Euler equations. We then estimate a threshold regression model and find that LC-PIH holds only under the unconstrained regime. More importantly, durable consumption exhibit a very strong asymmetric effect in response to changes in house prices, while other categories of consumption do not exhibit this asymmetry.

原文英語
頁(從 - 到)26-37
頁數12
期刊Journal of Housing Economics
19
發行號1
DOIs
出版狀態已發佈 - 2010 3月
對外發佈

ASJC Scopus subject areas

  • 經濟學與計量經濟學

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