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Cyclical consumption
Berger, Tino; Pozzi, Lorenzo - 2023
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...
Persistent link: https://www.econbiz.de/10014380708
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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach
Pozzi, Lorenzo - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate … consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … decomposed into an aggregate and into an idiosyncratic part. Empirically, aggregate risk is modelled through a GARCH process on …
Persistent link: https://www.econbiz.de/10011372981
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Precautionary Saving and Health Risk : Evidence from Italian Households Using a Time Series of Cross Sections
Atella, Vincenzo; Rosati, Furio C.; Rossi, Maria Christina - 2005
In this paper we analyse the importance of precautionary saving in Italy. In contrast to previous studies, we focus on two contemporaneous sources of uncertainty, income and health expenditures, to explain the presence of precautionary saving. The major changes occurred in public health care...
Persistent link: https://www.econbiz.de/10014061178
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Long Run Risk and the Persistence of Consumption Shocks
Ortu, Fulvio - 2013
sizable risk premia in a long-run risk model properly modifi ed to account for the diff erent layers of persistence. A low … frequency component correlated with long-run productivity growth commands a premium of up to 2% per year when the risk aversion …
Persistent link: https://www.econbiz.de/10013094118
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The time-varying volatility of earnings and aggregate precautionary savings
Pozzi, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009720736
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Consumption and wealth in the long run : an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018
calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating …
Persistent link: https://www.econbiz.de/10011844588
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Three essays on dynamic economics
Hashimzade, Nigar - 2003
Persistent link: https://www.econbiz.de/10003385291
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Persistence in the price-to-dividend ratio and its macroeconomic fundamentals : conference paper
Herwartz, Helmut; Rengel, Malte; Fang, Xu - 2013
state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …
Persistent link: https://www.econbiz.de/10010340530
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Correlated income shocks and excess smoothness of consumption
Hryshko, Dmytro - In: Journal of economic dynamics & control 48 (2014), pp. 41-62
Persistent link: https://www.econbiz.de/10010485838
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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - In: Journal of econometrics 240 (2024) 2, pp. 1-45
Persistent link: https://www.econbiz.de/10015075135