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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

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

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

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

Permanent income consumption and liquidity constraints : an empirical study using time series data for Taiwan

Huang, Chao-hsi - In: Jingji-lunwen 27 (1999) 1, pp. 23-48

Persistent link: https://www.econbiz.de/10001490111

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

Stock markets, current account dynamics, and exchange rate determination

Mercereau, Benoît - 2002

Persistent link: https://www.econbiz.de/10003780033

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

The time-varying volatility of earnings and aggregate precautionary savings

Pozzi, Lorenzo - 2011

Persistent link: https://www.econbiz.de/10009720736

Aggregation under structural stability : the change in consumption of a heterogeneous population

Hildenbrand, Werner; Kneip, Alois - 2002

household level. Based on certain hypotheses on the evolution of the distribution of income and household characteristics we … explanatory variables on the household level. It is shown that U.K. Family Expenditure Data support our theoretical model for …

Persistent link: https://www.econbiz.de/10011539806

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