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Interrelations between consumption and wealth in Poland

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Abstract

This paper studies the long-run relationship between consumption, labour income and asset wealth in Poland. Within cointegrated VAR model dynamic responses of the variables in the system to shocks are studied. In addition series are decomposed into permanent and transitory components. Main conclusion of this paper is that deviations of the three variables from their estimated long-run relationship are better explained with fluctuations of labour income than assets. The paper offers a tentative explanation of this finding. Additionally, the magnitude of the asset wealth effect in Poland is calculated and compared with other studies for European countries and for the U.S.

Suggested Citation

  • Zachłod-Jelec, Magdalena, 2010. "Interrelations between consumption and wealth in Poland," MF Working Papers 3, Ministry of Finance in Poland, revised 07 Jan 2010.
    • Handle: RePEc:ris:mfplwp:0003
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    8. repec:fth:harver:1435 is not listed on IDEAS
    9. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
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    11. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679.
    12. Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
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    Cited by:

    1. repec:nbp:nbpbik:v:43:y:2012:i:5:p:5-20 is not listed on IDEAS
    2. Janusz Jabłonowski, 2021. "MPC out of Augmented Wealth in Poland," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(3), pages 253-286, September.
    3. Katarzyna Leszkiewicz Kędzior & Władysław Welfe, 2012. "Consumption function for Poland. Is life cycle hypothesis legitimate?," Bank i Kredyt, Narodowy Bank Polski, vol. 43(5).
    4. Mariusz Kapuściński, 2017. "Monetary policy and financial asset prices in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(3), pages 263-294.

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    More about this item

    Keywords

    wealth; cointegration; Beveridge-Nelson decomposition; impulse responses;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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