Comparing Wealth Effects: The Stock Market versus the Housing Market

By Karl E. Case, John M. Quigley, Robert J. Shiller. 2001

258 citations recorded by the source corpus.

Abstract We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estimate regression models in levels, first differences and in error-correction form, relating consumption to income and wealth measures. We find a statistically significant and rather large effect of housing wealth upon household consumption.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0f8f1757c6d640da21fa1d863488cd67708796de

Citations in the corpus

• Is There a Bubble in the Housing Market? (2003, unknown): “Case, Quigley, and Shiller (2001).”
• Forecasting real estate prices (2012, unknown): “Case, Quigley, and Shiller (2005) show that variations in real estate prices have had a significant effect on aggregate consumption in the US, in fact more significant than the stock market, even before the recent volatility in the residential market.”
• Monetary Policy and the U.S. Housing Market: A VAR Analysis Imposing Sign Restrictions (2008, unknown): “Housing investment is an important indicator of household wealth (Case et al., 2005), and at the same time is one of the most volatile sectors of the U.S. economy (Bernanke and Gertler, 1995).”
• House prices, borrowing constraints and monetary policy in the business cycle (2005, unknown): “29 percent on a quarterly basis) of the interest rate.(12) The solid line illustrates the case when both collateral and debt deflation effects are shut off, so that only the interest rate channel works (see Appendix B for the technical details): output falls by 3.”
• A Dynamic Model of Housing Demand: Estimation and Policy Implications (2010, unknown): “(a0;h0) = (a;h;s) ( 6 ) where a and h denote endogenous state variables: household debt and housing stock.”
• Asset Prices, Exchange Rates and the Current Account (2007, unknown): “…investigates the e⁄ects of changes in wealth on consumption, (cid:133)nding marginal propensities to consume of between 0.06 and 0.12 with respect to changes in housing wealth, and somewhat smaller e⁄ects with regard to other forms of wealth (Betraut, 2002; Case et al., 2005; Palumbo et al., 2002).”
• Housing, Finance and the Macroeconomy (2014, unknown): “…and the relationship of house prices and housing wealth to consumption, for example Muellbauer and Murphy (1997), Davis and Palumbo (2001) and Case, Quigley, and Shiller (2005).20 In this 18Almost identical results are obtained for every statistic when real house prices are replaced with the…”
• How Much Does Household Collateral Constrain Regional Risk Sharing (2010, unknown): “The data construction of the regional housing wealth follows Case et al. (2001) and is detailed in Appendix C.4.”