Author: Tony S. Wirjanto
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper considers a general permanent-income model in which a fraction of consumers in the economy is liquidity constrained. Consumption growth rate for these individuals is related to the growth rate of their income and the level of real interest rates. The interest-rate coefficient is predicted to be smaller in the presence of liquidity constraints. Empirically, liquidity constraints are found to be important, and the estimated intertemporal elasticity of substitution parameter is much larger than the one obtained by estimating the standard representative agent model. Lastly, there is some evidence of structural changes over the sample period, which are associated with the 1982 recession.
Aggregate Consumption Behaviour and Liquidity Constraints
Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints
Author: Tony S. Wirjanto
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.
Essays on Liquidity Constraints, Aggregation, and the Permanent-income Hypothesis
Consumption, Rational Expectations and Liquidity
Author: Alan E. H. Speight
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
Book Description
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
Book Description
Understanding Consumption
Author: Angus Deaton
Publisher: Clarendon Press
ISBN: 0191521639
Category : Business & Economics
Languages : en
Pages : 256
Book Description
This book provides an overview of the recent research on saving and consumption, a field in which substantial progress has been made over the last decade. Attempts by economists to understand saving and consumption patterns have generated some of the best science in economics. For more than fifty years, there has been serious empirical and theoretical activity, and data, theory, and policy have never been separated as has happened in many branches of economics. Research has drawn microeconomists interested in household behaviour, as well as macroeconomists, for whom the behaviour of aggregate consumption has always occupied a central role in explaining aggregate fluctuations. Econometricians have also made distinguished contributions, and there has been a steady flow of new methodologies by those working on saving and consumption, in time-series econometrics, as well as in the study of micro and panel data. A coherent account of these developments is presented here, emphasizing the interplay between micro and the macro, between studies of cross-section and panels, and those using aggregate time series data.
Publisher: Clarendon Press
ISBN: 0191521639
Category : Business & Economics
Languages : en
Pages : 256
Book Description
This book provides an overview of the recent research on saving and consumption, a field in which substantial progress has been made over the last decade. Attempts by economists to understand saving and consumption patterns have generated some of the best science in economics. For more than fifty years, there has been serious empirical and theoretical activity, and data, theory, and policy have never been separated as has happened in many branches of economics. Research has drawn microeconomists interested in household behaviour, as well as macroeconomists, for whom the behaviour of aggregate consumption has always occupied a central role in explaining aggregate fluctuations. Econometricians have also made distinguished contributions, and there has been a steady flow of new methodologies by those working on saving and consumption, in time-series econometrics, as well as in the study of micro and panel data. A coherent account of these developments is presented here, emphasizing the interplay between micro and the macro, between studies of cross-section and panels, and those using aggregate time series data.
The Effects of Financial Deregulationon Consumption
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451952600
Category : Business & Economics
Languages : en
Pages : 38
Book Description
This paper examines whether financial deregulation in the 1980s has reduced the importance of liquidity constraints in consumption patterns. Data for six industrialized countries are used to estimate a simple model incorporating liquidity constraints and forward looking behavior. It is concluded that the importance of liquidity constraints fell between the 1970s and the 1980s. This implies that forward looking models of consumer behavior fit the data better in the recent period.
Publisher: International Monetary Fund
ISBN: 1451952600
Category : Business & Economics
Languages : en
Pages : 38
Book Description
This paper examines whether financial deregulation in the 1980s has reduced the importance of liquidity constraints in consumption patterns. Data for six industrialized countries are used to estimate a simple model incorporating liquidity constraints and forward looking behavior. It is concluded that the importance of liquidity constraints fell between the 1970s and the 1980s. This implies that forward looking models of consumer behavior fit the data better in the recent period.
Liquidity Constraints and Aggregation in the Consumption Function Under Uncertainity
Author: John Muellbauer
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 54
Book Description
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 54
Book Description
Financial Liberalisation and Consumption Behaviour
Author: Adrian Blundell-Wignall
Publisher: OECD
ISBN:
Category : Consumer behavior
Languages : en
Pages : 48
Book Description
Publisher: OECD
ISBN:
Category : Consumer behavior
Languages : en
Pages : 48
Book Description
Consumption and Credit
Author: Sydney C. Ludvigson
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper studies the optimal consumption behavior of individuals who face borrowing limitations that vary stochastically with their income. This framework is motivated by new empirical evidence that I document in U.S. aggregate data: predictable growth in consumer credit is significantly related to consumption growth, a finding that is inconsistent with existing models of consumer behavior. The time-varying liquidity constraint model considered here correctly predicts two key properties of the U.S. aggregate data: the correlation of consumption growth with predictable credit growth documented in this paper, and the well known correlation between consumption growth and predictable income growth that has been documented extensively elsewhere.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper studies the optimal consumption behavior of individuals who face borrowing limitations that vary stochastically with their income. This framework is motivated by new empirical evidence that I document in U.S. aggregate data: predictable growth in consumer credit is significantly related to consumption growth, a finding that is inconsistent with existing models of consumer behavior. The time-varying liquidity constraint model considered here correctly predicts two key properties of the U.S. aggregate data: the correlation of consumption growth with predictable credit growth documented in this paper, and the well known correlation between consumption growth and predictable income growth that has been documented extensively elsewhere.
Consumer Economics After Keynes
Author: George Hadjimatheou
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 296
Book Description
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 296
Book Description