Housing wealth, household debt, and financial assets: Are there implications for consumption?

摘要

The paper examines the asymmetric transmission effects of financial assets, liabilities, and housing wealth on consumption in Greece, during the period 1999Q4-2017Q4 by applying threshold autoregressive methodology developed by Enders and Siklos (J Bus Econ Stat 19(2):166-176, 2001) and Stevans (Quant Finance 4(2):191-198, 2004). The results show that (1) there is a long-run equilibrium relationship among consumption, income and net wealth components, (2) consumption responds asymmetrically to all types of changes applied, and (3) there is evidence for the predominance of negative changes compared to positive ones. The empirical findings are consistent with a stronger consumption response to decreases in financial and housing wealth and add to the existing literature in that the driving force of the rapid decrease in consumption is the deleveraging change. Lastly, the robustness analysis, by applying Hansen's (J Bus Econ Stat 35(2):228-240, 2017) kink regression model, confirms that consumption and net wealth components data fit better to threshold than to linear models.