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Displaying results 1 to 7 of 7.

  1. Consumption in asset returns
    Author: Bryzgalova, Svetlana; Julliard, Christian
    Published: [2020]
    Publisher:  [LSE Financial Markets Group], [London]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [FMG discussion paper] ; [DP 790]
    SRC discussion paper ; no 92 (January 2020)
    Subjects: Consumption Dynamics; Asset Returns; Consumption-Based Asset Pricing; Term Structure
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Consumption heterogeneity
    micro drivers and macro implications
    Author: Crawley, Edmund; Kuchler, Andreas
    Published: December 23, 2019
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 412
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Finance and economics discussion series ; 2020, 005
    Subjects: Uncertainty; Consumption Dynamics; MPC
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  3. Monetary policy and the redistribution channel in the euro area
    Author: Pekanov, Atanas
    Published: May 2024
    Publisher:  Österreichisches Institut für Wirtschaftsforschung, Wien

    Monetary policy has implicit redistribution effects for households when households are different. This changes the aggregate consumption response to interest rate changes. This paper is the first to estimate the magnitude of redistributionary... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 533
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    Monetary policy has implicit redistribution effects for households when households are different. This changes the aggregate consumption response to interest rate changes. This paper is the first to estimate the magnitude of redistributionary channels of monetary policy in the euro area. When households have heterogeneous MPCs and balance sheets, three redistributionary channels amend the standard consumption response to monetary policy - an earnings heterogeneity channel, an inflation-driven Fischer channel and a real interest rate channel. I construct a new dataset combining the ECB HFCS and the Eurostat HBS to obtain a representative euro area dataset with detailed information on household balance sheets and consumption. I use a unique question in the HFCS to calculate the sufficient statistics necessary to evaluate these redistribution channels. For the euro area the three redistribution channels enhance monetary policy - the effects of one time expansionary monetary policy shocks in stimulating consumption are stronger than in models without heterogeneity. In the euro area, a 1 percent decrease in the real interest rate redistributes wealth from creditors to debtors, and creates further income and price effects. This increases aggregate consumption through unequal exposure to interest rate changes, the price level and earnings respectively by 9 basis points, 7 basis points and another 2 basis points. Redistribution amplifies the monetary policy change and makes the aggregate consumption response 15 percent higher. The relative power of different channels of monetary policy is revised from the standard model - the redistribution channel with household heterogeneity makes up 14 percent of the total consumption response, while the aggregate demand and the substitution channel amount to respectively 53 and 33 percent. When households earnings react unequally to GDP changes, as estimated in the data, their heterogeneous individual earnings elasticities enhance this effect further and the share of the redistribution channel of earnings heterogeneity increases to between 20 and 27 percent. With heterogenous earnings elasticities redistribution amplifies the effects of monetary policy by up to 37 percent.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/299370
    Series: WIFO working papers ; 676 (2024)
    Subjects: MPC; Household balance sheets; Monetary policy transmission; Consumption Dynamics; Redistribution
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Consumption in asset returns
    Author: Bryzgalova, Svetlana; Julliard, Christian
    Published: [2020]
    Publisher:  Systemic Risk Centre, The London School of Economics and Political Science, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SRC discussion paper ; no 92 (January 2020)
    Subjects: Consumption Dynamics; Asset Returns; Consumption-Based Asset Pricing; Term Structure
    Scope: 1 Online-Ressource (circa 54 Seiten)
  5. How large is the housing wealth effect? - a new approach
    [November 12, 2006]
    Author: Carroll, Chris; Otsuka, Misuzu; Slacalek, Jirka
    Published: 2006
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,35
    Subjects: Grundstück; Mietwohngrundstück; Privatgrundstück; Eigentum; Realkasseneffekt; Vermögenseffekte des Geldes; Privater Verbrauch; :z Geschichte 1960-2005; USA; Verbrauch; Unbewegliche Sache
    Other subjects: (stw)1960-2005; (stw)Immobilien; (stw)Eigentum; (stw)Vermögenseffekt; (stw)Privater Konsum; (stw)USA; Housing Wealth; Wealth Effect; Consumption Dynamics; Asset Price Bubbles; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  6. Consumption heterogeneity
    micro drivers and macro implications
    Author: Crawley, Edmund; Kuchler, Andreas
    Published: 2 November 2018
    Publisher:  Danmarks Nationalbank, Copenhagen

    This paper aims to test the microfoundations of consumption models and quantify the macro implications of heterogeneity in consumption behavior. We propose a new empirical method to estimate the sensitivity of consumption to permanent and transitory... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 135 (129)
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    This paper aims to test the microfoundations of consumption models and quantify the macro implications of heterogeneity in consumption behavior. We propose a new empirical method to estimate the sensitivity of consumption to permanent and transitory income shocks for different groups of households. We then apply this method to administrative data from Denmark. The large sample size, along with detailed household balance sheet information, allows us to finely divide the population along relevant dimensions. For example, we find that households who stand to lose from an interest rate hike are significantly more sensitive to income shocks than those who stand to gain. Following a 1 percentage point rate increase, we estimate consumption will decrease by 26 basis points through this interest rate exposure channel alone, making it substantially larger than the intertemporal substitution channel that dominates in representative agent New Keynesian models.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/202869
    Series: Working paper / Danmarks Nationalbank ; no. 129
    Subjects: Uncertainty; Consumption Dynamics; MPC
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  7. Income convergence in South Africa
    fact or measurement error?
    Author: Lechtenfeld, Tobias; Zoch, Asmus
    Published: 2014
    Publisher:  Courant Research Centre, Göttingen

    This paper asks whether income mobility in South Africa over the last decade has indeed been as impressive as currently thought. Using new national panel data (NIDS), substantial measurement error in reported income data is found, which is further... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 439 (157)
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    This paper asks whether income mobility in South Africa over the last decade has indeed been as impressive as currently thought. Using new national panel data (NIDS), substantial measurement error in reported income data is found, which is further corroborated by a provincial income data panel (KIDS). By employing an instrumental variables approach using two different instruments, measurement error can be quantified. Specifically, self-reported income in the survey data is shown to suffer from mean-reverting measurement bias, leading to sizable overestimations of income convergence in both panel data sets. The preferred estimates indicate that previously published income dynamics may have been largely overestimated by as much as 77% for the national NIDS panel and 39% for the provincial KIDS panel. Overall, income mobility appears much smaller than previously thought, while chronic poverty remains substantial and transitory poverty is still very limited in South Africa.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/100101
    Series: Discussion papers / Courant Research Centre ; 157
    Subjects: Measurement Error; Income Dynamics; Consumption Dynamics; South Africa
    Scope: Online-Ressource ([1], 16, IV S.), graph. Darst.