Private consumption growth rates have frequently exceeded the GDP growth since the 1970s. This seems to fly in the face of received economic theory. The two longest periods on record during which this unusual phenomenon occurred (six quarters) were in 1989～1990 and 2001～2002, and the gaps were the widest ever. It should be noted that there was concern in both periods over asset price bubbles due to a surge in stock prices and real estate prices.
The purpose of the paper is to investigate the effect of the asset price bubble on private consumption. Based on the permanent income hypothesis, the paper seeks to determine whether the asset price bubble can explain the abnormal phenomenon aforementioned. It then analyzes the transmission mechanism by which the asset price bubble affects private consumption.
The empirical findings demonstrate that an asset price bubble affects transitory income in the current period, transitory income affects transitory consumption in the current period, and transitory consumption leads to a housing price bubble in three quarters. Interestingly, it also found that the housing price bubble does not affect transitory income or transitory consumption. This implies that a stock market bubble increases income, but a housing price bubble does not have a positive effect on economic growth.
자산가격 버블이 민간소비에 미치는 영향(Empirical tests on the effects of an asset price bubble on private consumption)
[서울] : 한국금융연구원
|Series Title; No||금융조사보고서 / 2003-09|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Macroeconomics
Economy < Financial Policy
|Holding||한국금융연구원; KDI 국제정책대학원|