The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies

Anita Čeh Časni; Ksenija Dumičić; Josip Tica

Anita Čeh Časni
Ksenija Dumičić
Josip Tica

Keywords: consumption, housing wealth effect, house prices, panel vector autoregression, European emerging markets

Abstract

Following Friedman’s permanent income hypothesis and Ando and Modigliani’s lifecycle hypothesis, this paper empirically studies the role of house prices and income in determining the dynamic behaviour of consumption in selected European post-transition economies using the panel vector autoregression (PVAR) approach and quarterly data covering the period from the first quarter of 2002 until the second quarter of 2012. With the shocks being recognized using the customary recursive identification scheme, we found that the response of personal consumption to the housing wealth shock is initially positive, but short lived.

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Author Biographies

Anita Čeh Časni

University of Zagreb, Faculty of Economics and Business, Croatia
E-mail: aceh@efzg.hr

Anita Čeh Časni is an assistant professor in the Department of Statistics, Faculty of Economics and Business, University of Zagreb. Her fields of interest are statistics, econometric modelling of macroeconomic data, panel data linear analysis, and housing wealth. She has taken part in several scientific projects and published more than 40 research papers in international scientific journals.

Ksenija Dumičić

University of Zagreb, Faculty of Economics and Business, Croatia
E-mail: kdumicic@efzg.hr

Ksenija Dumičić, a full tenured professor in the Department of Statistics, Faculty of Economics and Business, University of Zagreb, is focused in survey sampling, statistical quality control, business statistics, and forecasting. She specialized at the Institute for Social Research at the University of Michigan. She is a leader of postgraduate statistical studies and UN, EU, and Croatian Science Foundation projects. She is an elected member of the ISI and president of the Croatian Statistical Association. She has published 130 papers and is the co-author of several books.

Josip Tica

University of Zagreb, Faculty of Economics and Business, Croatia
E-mail: jtica@efzg.hr

Josip Tica is a full professor in the Department of Macroeconomics and Economic Development, Faculty of Economics and Business, University of Zagreb. His primary fields of interest are structural breaks and purchasing power parities, labour costs, real estate economics, etc. He has published more than 50 scientific research papers and is the author and co-author of several books.

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