The impact of changes in asset prices on real economic activity : a cointegration analysis for Germany

  • This paper reviews theoretical and empirical evidence of asset price movements impact on the real economic activity. A key channel is the wealth effect on consumption. Fluctuations in stock prices and housing prices influence the households wealth and could have important impacts on households consumption. In addition, stock prices may affect corporate sector investments and property prices may affect building activity. Here, the method of cointegration is used to estimate the wealth effect and the investment effect in aggregate time series for Germany after the Reunification in 1990. Moreover, we discuss the role of asset prices in the monetary policy strategy of the ECB.

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Metadaten
Author:Andreas Nastansky, Hans Gerhard Strohe
URN:urn:nbn:de:kobv:517-opus-43762
Series (Serial Number):Statistische Diskussionsbeiträge (38)
Document Type:Book
Language:English
Date of Publication (online):2010/06/22
Year of Completion:2010
Publishing Institution:Universität Potsdam
Release Date:2010/06/22
Tag:Central Banking Policy; Consumption; Investment; Property Prices; Stock Prices
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
JEL Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
E Macroeconomics and Monetary Economics / E2 Macroeconomics: Consumption, Saving, Production, Employment, and Investment / E21 Consumption; Saving; Wealth
E Macroeconomics and Monetary Economics / E2 Macroeconomics: Consumption, Saving, Production, Employment, and Investment / E22 Capital; Investment; Capacity
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E58 Central Banks and Their Policies
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht
Notes extern:
RVK-Notation: QH 200
Zugleich gedruckt erschienen:
Nastansky, Andreas; Strohe, Hans Gerhard: The impact of changes in asset prices on real economic activity : a cointegration analysis for Germany / Andreas Nastansky; Hans Gerhard Strohe. - Potsdam : Univ., 2010
(Statistische Diskussionsbeiträge ; 38)
ISSN 0949-068X