The Housing Wealth Effect on Consumption Reconsidered [Dataset]

Much of the literature on the effect of housing wealth on consumption has been embedded in a simple life-cycle model in which housing price changes work as a \"wealth effect\". In such models, windfall gains in housing always lead to positive changes in consumption. However, this might constitute a fallacy of composition. Such models ignore that changes in housing wealth have distributional consequences between those planning to sell their house and those planning to buy a house. Further, since most housing is not simply financed out of current cash holdings but by mortgages, the institutions on mortgage markets have to be considered when looking at the \"wealth effect\" of housing. In this paper, a model is presented from which the classic Ando-Modigliani consumption function augmented by housing wealth can be deduced. It is shown that the deeper structural model from which this equation is deduced implies that changes in housing wealth are not necessarily positively correlated with consumption. It will be argued that changes both in demographics (the composition of the age groups in the population) as well as in mortgage markets have led to a structural break in the effect of housing wealth on consumption in the mid-1980s in the US. In the empirical part of the paper, two VAR models are estimated and impulse-response functions are computed. The results show that housing wealth changes did affect consumption differently before the mid-1980s and afterward. While both models show that consumption was positively related to housing wealth shocks after the mid-1980s, there was no or even a negative relation before.

现有关于住房财富对消费影响的大量研究，均嵌入于一个简单的生命周期模型（life-cycle model）之中，该模型将住房价格变动视作‘财富效应（wealth effect）’。在此类模型中，住房的意外增值总会引致消费的正向变动。然而，这或许存在合成谬误（fallacy of composition）。这类模型忽略了住房财富变动会在计划售房者与计划购房者之间产生分配效应。此外，由于多数住房并非仅通过当期现金持有量购置，而是依托抵押贷款融资，因此在探讨住房‘财富效应’时，必须考虑抵押贷款市场的制度环境。本文提出了一个模型，可推导出纳入住房财富的经典安多-莫迪利安尼消费函数（Ando-Modigliani consumption function）。研究表明，推导该方程的更深层结构模型意味着，住房财富变动未必与消费呈正相关关系。本文将论证，人口结构（人口年龄组构成）与抵押贷款市场的双重变化，已导致美国在20世纪80年代中期出现住房财富对消费影响的结构性断点（structural break）。在本文的实证研究环节，我们估计了两个向量自回归模型（VAR models）并计算了脉冲响应函数（impulse-response functions）。结果显示，住房财富变动在1980年代中期前后对消费的影响存在显著差异：两个模型均表明，1980年代中期之后，消费与住房财富冲击呈正向相关关系；而在此之前，二者间不存在相关关系，甚至呈现负相关关系。