Template-type: ReDif-Paper 1.0
Author-Name: Holinski Nils 
Author-Name: Vermeulen Robert 
Author-workplace-name: METEOR
Title: The International Wealth Effect: A Global Error-Correcting Analysis
Abstract: This paper analyzes the empirical link between asset prices, consumption and the trade balance using a global macroeconometric model developed by Pesaran, Schuermann, and Weiner (2004). The model is estimated for 29 countries with quarterly data over the period 1981Q1 - 2006Q4. Motivated by increasing international financial and real integration, and pronounced cycles in stock and housing prices, we employ generalized impulse response functions for a group of five of the world''s most industrialized countries and show that shocks to asset prices transmit into consumption decisions and subsequently into the trade balance. We refer to this transmission channel as the international wealth effect and find it to be present in the US, UK and, to a lesser extent, in France, but absent in Japan and Germany.
Keywords: macroeconomics ; 
Series: Research Memoranda
Creation-Date: 2009
Number: 019
File-URL: http://arnop.unimaas.nl/show.cgi?fid=15128
File-Format: application/pdf
File-Size: 2318709
Handle: RePEc:unm:umamet:2009019