Vliv finančního a nemovitostního jmění na spotřebu a inflaci: Empirická analýza pro Českou republiku, eurozónu a Spojené království

Řepa, David

This thesis examines the strength and significance of financial and housing wealth effects on household consumption and their spillovers to inflation dy- namics in the Czech Republic, the euro area, and the United Kingdom. The relationship is analysed using a medium-sized Bayesian vector autoregression model with identification via sign restrictions, which enables assessment of the link within a broader macro-financial framework encompassing numerous key structural macroeconomic forces. Even though the derived marginal propensi- ties to consume out of net worth are comparable in magnitude to those typi- cally reported in the topical literature, financial and housing wealth effects on consumption, as well as their impacts on inflation, are found to be statisti- cally insignificant across all economies. Historical decompositions consistently reveal that changes in net worth are, on average, only second-order drivers of inflation and consumption growth. The importance of asset price shocks nonetheless becomes more pronounced in certain periods, particularly during the global financial crisis and the subsequent recovery period, indicating the po- tential presence of nonlinearities in the relationship between household wealth, consumption, and inflation. JEL Classification C11, E21, E31, E44, G51...

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