Simo-Kengne, Beatrice; Miller, Stephen; Gupta, Rangan; … - In: The Journal of Real Estate Finance and Economics 50 (2015) 3, pp. 339-354
This paper applies a time-varying parameter vector autoregressive approach to estimate the relative effects of housing and stock returns on the growth rate of US consumption over time. We use annual data from 1890 to 2012 and find that at the 1- and 2-year horizons and over time, generally the...