Formueseffekten på makrokonsumet i Norge

Sammendrag av Discussion Papers 616 Wealth effects on consumption in financial crises: the case of Norway

En ny konsumfunksjon i SSBs makroøkonomiske modell KVARTS viser at realformuen har en klar effekt på husholdningenes konsum. Boligformuen utgjør en betydelig andel av denne formuen. Analysen er foretatt ved hjelp av kvartalsdata fra 1970 til og med 2009. Denne perioden rommer således dereguleringen av kredittvesenet på 1980-tallet, bankkrisen som fulgte og den aktuelle internasjonale finanskrisen.

Den nye konsumfunksjonen er homogen i inntekt og formue på lang sikt, og den er i stand i forklare konsumutviklingen i de siste tre årene bedre enn en alternativ spesifikasjon uten formueseffekter. Et endret korrelasjonsmønster mellom realrenten etter skatt og formuen avdekker at det er nødvendig å inkludere formuen i relasjonen. Alternative modellformuleringer basert på såkalte Euler-likninger, bidrar lite til å forklare konsumutviklingen så vel historisk som i dagens aktuelle situasjon.

Mer informasjon:

Discussion Papers 616 - Statistics Norway, April 2010

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Eilev S. Jansen

Wealth effects on consumption in financial crises: the case of Norway

Abstract:

A dynamic consumption function, where consumption in the long run is determined by households’ disposable income and wealth, has been superior to the Euler equation in explaining the development of Norwegian aggregate consumption over several decades. This period covers the years of financial deregulation in the mid 1980s, the banking crisis around 1990 following the deregulation and the current international financial crisis. In the current version, long run consumption is homogeneous in income and wealth and there is also a significant effect from after-tax real interest rates. A change in the correlation pattern between real interest rates and wealth, which is related to a change in the monetary policy regime, is the reason why both variables need to be included in the long run relationship in order to explain the development over the past four years.

Keywords: financial crisis, consumption, wealth effects, interest rates, savings rate.

JEL classification: C51, C52, C53, E21

Acknowledgement: Thanks to Tord Krogh, who has provided valuable research assistance to this project, and to Joakim Prestmo, who has helped the author with the simulations on the macroeconometric model KVARTS. An earlier version of the paper has been presented at the Norwegian Economists’ Conference in Kristiansand 5.-6. January 2010. Comments from participants there and from Sigbjørn Atle Berg, Roger Bjørnstad, Pål Boug, Ådne Cappelen, Håvard Hungnes, Dag Kolsrud, John Muellbauer, Ragnar Nymoen, Arvid Raknerud and seminar participants at Norwegian University of Technology and Science, Ministry of Finance, and Statistics Norway are highly appreciated.

Address:

Eilev S. Jansen, Statistics Norway, Research Department. E-mail: eja@ssb.no

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