TY - JOUR
T1 - Time-varying influence of household debt on inequality in United Kingdom
AU - Berisha, Edmond
AU - Gabauer, David
AU - Gupta, Rangan
AU - Lau, Chi Keung Marco
N1 - Publisher Copyright:
© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2020/9/20
Y1 - 2020/9/20
N2 - The United Kingdom (UK) in terms of income inequality is ranked among the highest in Europe. Likewise, within the last four decades, UK is characterized with drastic increases in household debt. In this paper, we analyze time-varying predictability of growth in household debt for growth in income (and consumption) inequality based on a high-frequency (quarterly) data set over 1975:Q2 to 2016:Q1. Results indicate that the growth in household debt has a strong predictive power, both for within and out-of-samples, on growth rate of income (and consumption) inequality in the UK. Interestingly, the strength of the predictive power is found to have increased after 2008. Based on time-varying impulse response functions, we also find that higher growth rate in household debt corresponds with subsequent increases in income inequality.
AB - The United Kingdom (UK) in terms of income inequality is ranked among the highest in Europe. Likewise, within the last four decades, UK is characterized with drastic increases in household debt. In this paper, we analyze time-varying predictability of growth in household debt for growth in income (and consumption) inequality based on a high-frequency (quarterly) data set over 1975:Q2 to 2016:Q1. Results indicate that the growth in household debt has a strong predictive power, both for within and out-of-samples, on growth rate of income (and consumption) inequality in the UK. Interestingly, the strength of the predictive power is found to have increased after 2008. Based on time-varying impulse response functions, we also find that higher growth rate in household debt corresponds with subsequent increases in income inequality.
UR - http://www.scopus.com/inward/record.url?scp=85091144387&partnerID=8YFLogxK
U2 - 10.1007/s00181-020-01940-1
DO - 10.1007/s00181-020-01940-1
M3 - Article
AN - SCOPUS:85091144387
SN - 0377-7332
JO - Empirical Economics
JF - Empirical Economics
ER -