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KDI - Korea Development Institute

KDI - Korea Development Institute



Policy Study Asset Prices, Household Wealth and Consumption December 31, 2009


Series No. 2009-08

Policy Study KOR Asset Prices, Household Wealth and Consumption #Consumption, Investment, Export-Import, and Balance of Payments #Asset Pricing
DOI P-ISBN978-89-8063-405-7

December 31, 2009

  • KDI
    Kim, Young Il
This study aims to analyze the effect of asset value fluctuation on consumption, with its focus on the following: empirical and quantitative understanding of long-term effect as well as the dynamic reaction of actual consumption; whether asset values other than gross income, a usual determinant of consumption, are capable of explaining consumption behavior; and the estimation of full effects on private consumption caused by asset fluctuations. In addition, this study ponders on the asymmetrical reaction of consumption to asset fluctuations taking into account the possibility that consumption reaction might be different depending on which cyclical phase the economy is in. Then, the study analyzes the long-horizon predictability for the consumption growth rate as suggested by the estimated model.

According to the analysis, in the case where gross income is controlled, the long-term effect of asset price fluctuation on private consumption seems to show statistically low significance, while the short-term effect of the asset price shocks on private consumption gradually disappears and almost vanishes within two years. Meanwhile, the cointegration error from the long-term equation for consumption?in other words, consumption error?is confirmed to have long-horizon predictability for the consumption growth rate, which is consistent with the error correction model that incorporates the adjustment process of consumption. In addition, the study analyzes whether consumption reactions caused by income and asset price impacts turn out different in the course of cyclical phases of the economy, such as expansionary and contractionary phases. In this analysis, the impact of the fall in income and assets in the contractionary phase is confirmed to cause a larger effect than the impact of their rise in the expansionary phase. Meanwhile, the MPC (out of asset wealth) is estimated at approximately 0.02, which indicates the effect that when the asset rises by 1,000 won, the consumption rises by 20 won.

Given that this analysis is based on estimations of an empirical model, it is necessary to be mindful of its limitations as well, when it comes to the interpretation of results.
제1장 서 론

제2장 소비의 장기균형 및 동태적 조정과정에 관한 논의
 제1절 소비-부의 장기균형에 관한 논의
  1. 소비-부의 장기균형 및 공적분관계
  2. 소비-총소득의 장기균형 및 공적분관계
 제2절 소비-부의 동태적 경로 및 실증분석모형
  1. 오차수정모형(Error Correction Model: ECM)
  2. 벡터오차수정모형(Vector Error Correction Model: VECM)

제3장 자산가격의 변동이 소비에 미치는 효과 분석
 제1절 자산가격과 소비의 관련성
 제2절 실증분석
  1. 장기소비식 추정 및 분석
  2. 단기소비식 추정 및 분석
 제3절 자산가격 충격에 대한 소비의 동태적 반응
 제4절 경기순환을 고려한 자산가격의 소비에 대한 효과 분석

제4장 자산의 변동이 소비에 미치는 효과 분석
 제1절 소비-소득-자산의 장기균형식 추정
 제2절 소비-소득-자산의 단기균형식 추정
 제3절 자산의 변동이 소비에 미치는 효과 분석

제5장 자산변동에 따른 소비변화효과 추정

제6장 요약 및 결론


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