Working Paper: NBER ID: w15502
Authors: William N. Goetzmann; Luc Renneboog; Christophe Spaenjers
Abstract: This paper investigates the impact of equity markets and top incomes on art prices. Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on the price level in the art market. Over a shorter time frame, we also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration tests strongly suggest the existence of a long-term relation between top incomes and art prices.
Keywords: art prices; equity markets; income inequality
JEL Codes: D31; G1; Z11
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| equity market returns (G12) | art prices (P22) |
| lagged equity market returns (G12) | art prices (P22) |
| income inequality (D31) | art prices (P22) |
| top incomes (D31) | art prices (P22) |