Narrow search
Showing 1 - 10 of 12,561
Cover Image
Consumption and wealth in the long run : an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … component in the consumption equation. The consumption-to-wealth ratio calculated from this model is much less persistent than …
Persistent link: https://www.econbiz.de/10011844588
Cover Image
Dynamics of Consumption and Dividends Over the Business Cycle
Pidkuyko, Myroslav - 2015
We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...
Persistent link: https://www.econbiz.de/10013031069
Cover Image
A primer on the economics and time series econometrics of wealth effects : a comment
Lettau, Martin (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590070
Cover Image
A Primer on the Economics and Time Series Econometrics of Wealth Effects : A Comment
Lettau, Martin - 2013
In a recent paper (quot;A Primer on the Economics and Time Series Econometrics of Wealth Effects,quot; 2001), Davis and … Palumbo investigate the empirical relation between three cointegrated variables: aggregate consumption, asset wealth, and … changes in income and wealth? Is the adjustment rapid, occurring within a quarter, or more sluggish, taking place over many …
Persistent link: https://www.econbiz.de/10012711662
Cover Image
Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach
Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703
Persistent link: https://www.econbiz.de/10013554939
Cover Image
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...
Persistent link: https://www.econbiz.de/10011372981
Cover Image
The time-varying volatility of earnings and aggregate precautionary savings
Pozzi, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009720736
Cover Image
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
Cover Image
Long Run Risk and the Persistence of Consumption Shocks
Ortu, Fulvio - 2013
We propose a methodology based on multiresolution analysis to decompose a time series in components classifi ed by their level of persistence. Using this decomposition to detect the layers with diff erent degrees of persistence in consumption growth, we provide empirical evidence that some of...
Persistent link: https://www.econbiz.de/10013094118
Cover Image
Aggregation under structural stability : the change in consumption of a heterogeneous population
Hildenbrand, Werner; Kneip, Alois - 2002
Persistent link: https://www.econbiz.de/10001667013