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Wealth effects out of financial and housing wealth: cross country and age group comparisons

Sierminska, Eva; Takhtamanova, Yelena - Federal Reserve Bank of San Francisco - 2007

To explore the link between household consumption and wealth, we use a new source of harmonized microdata (Luxembourg … Wealth Study). We investigate whether there are differences in wealth effects from different types of wealth and across age … groups. We consider three countries: Canada, Italy and Finland. We find that the overall wealth effect from housing is …

Persistent link: https://www.econbiz.de/10005498397

Borrowing restrictions and wealth constraints: implications for aggregate consumption

Walsh, Carl E. - Federal Reserve Bank of San Francisco - 1986

Recent empirical studies have found that consumption is more sensitive to current income than simple versions of the life-cycle, permanent income hypothesis would predict. The present paper studies a model in which the fraction of consumers exhibiting excess sensitivity is endogenously...

Persistent link: https://www.econbiz.de/10005078270

Crowding out and the wealth role of government debt

Bisignano, Joseph - Federal Reserve Bank of San Francisco - 1985

Persistent link: https://www.econbiz.de/10005078340

Government employment and the dynamic effects of fiscal policy shocks

Cavallo, Michele P. - Federal Reserve Bank of San Francisco - 2005

the wealth effect on consumption and labor supply associated with fiscal shocks. …

Persistent link: https://www.econbiz.de/10005721465

Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey

Cogley, Timothy - Federal Reserve Bank of San Francisco - 1998

This paper uses household consumption data to investigate whether uninsurable idiosyncratic risk accounts for the equity premium. The analysis complements and extends prior empirical work by relaxing maintained assumptions about idiosyncratic income shocks. Following Mankiw (1986), the paper...

Persistent link: https://www.econbiz.de/10010702306

Estimating the Euler equation for output

Rudebusch, Glenn D.; Fuhrer, Jeffrey C. - Federal Reserve Bank of San Francisco - 2002

New Keynesian macroeconomic models have generally emphasized that expectations of future output are a key factor in determining current output. The theoretical motivation for such forward-looking behavior relies on a straightforward generalization of the well-known Euler equation for...

Persistent link: https://www.econbiz.de/10005401530

A robust Hansen-Sargent prediction formula

Kasa, Kenneth - Federal Reserve Bank of San Francisco - 2000

This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new...

Persistent link: https://www.econbiz.de/10005514425

A frequency decomposition of approximation errors in stochastic discount factor models

Cogley, Timothy - Federal Reserve Bank of San Francisco - 1997

This paper extends the work of Hansen and Jagannathan (1997) by showing how to decompose approximation errors in stochastic discount factor models by frequency. This decomposition is applied to a number of prominent consumption-based discount factor models top investigate how well they fit at...

Persistent link: https://www.econbiz.de/10005514431

Temptation and self-control: some evidence and applications

Huang, Kevin X.D.; Liu, Zheng; Zhu, John Q. - Federal Reserve Bank of San Francisco - 2013

self-control in preferences. In the presence of temptation, a wealth-consumption ratio, in addition to consumption growth …

Persistent link: https://www.econbiz.de/10010692378

Doubts and variability: a robust perspective on exotic consumption series

Bidder, Rhys; Smith, Matthew E. - Federal Reserve Bank of San Francisco - 2013

In order for consumption based asset pricing models to reconcile data on returns with that on consumption, researchers have resorted to augmenting the consumption series in exotic ways. When an agent’s consumption series is subject to changes in volatility, we show that concerns for model...

Persistent link: https://www.econbiz.de/10010699352