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Is the Relationship of Wealth Inequality with the Real, Financial and Housing Cycle Country-Specific?

  • Connor Bryant
  • Bernd SüssmuthEmail author
Original Paper
  • 22 Downloads

Abstract

Relying on the methodology of deviation cycle dynamics, we analyze whether the association of wealth inequality measures and the real, financial and housing cycle are nationally idiosyncratic. Making use of recently available long time series for France, the United Kingdom (U.K.) and the United States (U.S.), we establish evidence in support of stock market returns co-moving with wealth concentration. However, this holds only for time series of the two studied Anglo-Saxon economies. The top one percent wealth share dynamics evolve procyclically across the housing, real and financial cycle dimension for the U.S. only. Cyclical growth of the French national product coincides with a falling wealth share of top and bottom percentiles and an increasing share of the middle class. No corresponding relationship was found for the U.S. and the U.K. Vector autoregressions (VAR) with single-shock identification confirm our frequency domain results. In the VAR(X) estimates, controlling for the subprime mortgage crisis statistically matters for the wealth concentration response to shocks in housing and stock prices and gross domestic product for the U.S. A control for the European sovereign debt crisis in the case of France is statistically insignificant.

Keywords

Wealth inequality dynamics Economic fluctuations Frequency domain analysis 

JEL

C22 D31 E32 

Notes

Acknowledgments

We thank Gregor von Schweinitz, the editor, and two anonymous referees for very helpful comments and suggestions that markedly improved our paper.

Supplementary material

11293_2019_9630_MOESM1_ESM.pdf (74 kb)
(PDF 73.8 KB)

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Copyright information

© International Atlantic Economic Society 2019

Authors and Affiliations

  1. 1.Economic & Social Development, EKOSGlasgowScotland
  2. 2.University of Leipzig, Institute for Empirical Research in EconomicsLeipzigGermany
  3. 3.CESifoMunichGermany

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