Differential Impacts of Stock and Housing Returns on the Conditional Distribution of Consumption Growth Rate During the Global Financial Crisis and the <scp>COVID</scp>‐19 Pandemic: Evidence From Taiwan

ABSTRACT This paper empirically investigates (i) whether the conditional distribution of the consumption growth rate is skewed, (ii) whether housing and stock assets influence the conditional distribution of the consumption growth rate, (iii) whether the impacts of housing and stock assets differ between the global financial crisis of 2007–2009 and the COVID‐19 pandemic, and (iv) whether the magnitude of the impact differs between housing and stock assets. Empirical analysis data from Taiwan reveals that (i) the conditional distribution of the consumption growth rate is left‐skewed and fat‐tailed, (ii) housing and stock assets significantly influence the conditional distribution, (iii) the conditional distribution becomes more left‐skewed during the global financial crisis, while the magnitude of left‐skewness weakens during the COVID‐19 pandemic, and (iv) housing assets have a slightly stronger impact than stock assets.