This paper develops and tests a wealth-channel framework for the transmission of monetary policy to art-market prices. Using an original dataset from the Artprice Econometrics Department, we examine quarterly returns on the Artprice Global Index from 1998Q1 through 2026Q1. We also analyze four art-historical segment indices at annual frequency from 2000 through 2024. Based on this dataset, we estimate a five-layer architecture. This includes baseline OLS with Newey-West HAC standard errors, an autoregressive distributed lag (ARDL) specification, a Baron-Kenny mediation test, threshold regressions for regime dependence, and a segment-level decomposition. The Federal Reserve top-1% wealth share (FRED: WFRBST01134) is adopted as the primary wealth proxy because it is theoretically aligned with the hypothesis that ultra-high-net-worth collectors are the marginal buyers and because it strictly excludes household art holdings, removing the construction-endogeneity concern that affects the Z.1 net-worth series. We argue that expansionary monetary policy raises the wealth of these collectors, whose deferred consignment and bidding decisions feed into auction prices with a six- to eighteen-month lag anchored in the biannual auction calendar. Identification rests on a structural micro-foundation, a falsifiable lag prediction confirmed by the ARDL coefficient pattern and by practitioner testimony, and a natural-experiment test against the 2022 to 2024 Federal Reserve tightening cycle. The Layer 1 baseline yields a wealth coefficient of +3.68 (HAC SE 1.39, p = 0.016), rising to +4.44 (p = 0.002) when high-influence years are excluded. The annual ARDL(1,1) long-run multiplier on the policy rate is -5.36 (p = 0.045) and on the top-1% wealth share is +3.70 (p = 0.019); at quarterly frequency (T = 106), the long-run wealth multiplier rises to +14.44 (p = 0.003). The expansion-regime wealth coefficient of +4.72 (p = 0.002) supports asymmetric transmission, although the formal regime-independence rejection is fragile under cleaner specifications. The Baron-Kenny test fails to reject the null of no mediation at annual frequency, reflecting a weak first stage even though the second-stage wealth-art coefficient is significant at the 5% level. The out-of-sample model predicts the cumulative 2022 to 2024 drawdown within one to three percentage points. [...]
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- Citation du texte
- Oscar Lin (Auteur), 2026, The wealth channel of monetary policy in the global art market, Munich, GRIN Verlag, https://www.grin.com/document/1724582
