Paradiso, Antonio and Rao, B. Bhaskara (2011): What Caused the Decline in the US Saving Ratio?
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We investigate whether the mortgage equity withdrawal (MEW) mechanism is useful for explaining the large declines in the US personal saving ratio in the last two decades. MEW depends on house price inflation and mortgage rates. In addition stock prices may affect saving ratio. Therefore, we estimate a VEC model with these four variables. The impulse response analysis shows that saving ratio decreases with positive shocks to asset prices and increases with positive shocks to mortgage rates.
|Item Type:||MPRA Paper|
|Original Title:||What Caused the Decline in the US Saving Ratio?|
|Keywords:||Saving ratio MEW VEC asset prices interest rates|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E21 - Consumption; Saving; Wealth
|Depositing User:||Antonio Paradiso|
|Date Deposited:||10. Jan 2011 20:53|
|Last Modified:||12. Feb 2013 13:41|
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