The Dynamics of Consumers' Expenditure: The UK Consumption ECM Redux

The long run relationship between private consumption and wealth: common and idiosyncratic effects

“…The cointegration result has been confirmed in recent studies, like Davis and Palumbo (2001), Palumbo, Rudd and Whelan (2002), Bertaut (2003), Fernandez-Curegedo, Price and Blake (2003), Tan and Voss (2003) and Labhard, Sterne and Young (2005). In addition, wealth effects in the US and the UK exceed those in continental Europe.…”

What Drives Personal Consumption? The Role of Housing and Financial Wealth

“…4 A number of recent empirical studies including Fernandez-Corugedo et al (2003) and Hamburg et al (2005) follow Lettau and Ludvigson (2004) in using estimation methods that impose cointegration between consumption, income and wealth in national contexts. Cross-country comparative work includes Bertaut (2002), Ludwig and Sløk (2004), Catte et al (2004), Case et al (2005) and Labhard et al (2005).…”

Volatility in asset prices and long-run wealth effect estimates

“…Previous work by Fernandez-Corrugedo et al (2003) applies the framework of Lettau and Ludvigson (2004) and Lettau and Ludvigson (2004) to UK data, but instability of the cointegrating relationship is overlooked. As we show next, there are strong reasons to suspect that the UK consumption-wealth ratio displays the same type of unstable behaviour as found above for the US.…”

“…We use the same dataset as Slacalek (2004) and Fernandez-Corrugedo et al (2003), comprising quarterly data 9 on consumption, income and wealth for the period 1968-2000. Figs.…”