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Re-examining the consumption-wealth relationship : the role of model uncertainty
Koop, Gary; Potter, Simon M.; Strachan, Rodney W. - In: Journal of money, credit and banking : JMCB 40 (2008) 2/3, pp. 341-367
Persistent link: https://www.econbiz.de/10003678895
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Re-examining the consumption-wealth relationship : the role of model uncertainty
Koop, Gary (contributor); Potter, Simon M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002623569
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Reexamining the consumption-wealth relationship : the role of model uncertainty
Koop, Gary M. - 2005
Persistent link: https://www.econbiz.de/10002623580
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Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
Treeck, Till van - 2008
Various deviations from the Permanent Income consumption model with rational expectations have been discussed in the literature, including loss aversion and liquidity constraints. In the existing literature, these two types of consumption asymmetry are usually considered as mutually exclusive....
Persistent link: https://www.econbiz.de/10003744543
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Reexamining the consumption-wealth relationship: The role of model uncertainty
Koop, Gary M.; Potter, Simon M.; Strachan, Rodney W. - 2005
In their influential work on the consumption-wealth relationship, Lettau and Ludvigson found that while consumption responds to permanent changes in wealth in the expected manner, most changes in wealth are transitory with no effect on consumption. We investigate the robustness of these results...
Persistent link: https://www.econbiz.de/10010283401
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Monetary policy and wealth effects : the role of risk and heterogeneity
Caramp, Nicolas; Silva, Dejanir H. - 2024
-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …
Persistent link: https://www.econbiz.de/10014514921
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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 calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...
Persistent link: https://www.econbiz.de/10011844588
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Income Uncertainty and Aggregate Consumption
Pozzi, Lorenzo - 2010
the US over the period 1952-2001. Theoretically, the effect of income risk on consumption changes is decomposed into an … aggregate and into a consumer-specific part. Empirically, aggregate risk is modelled through a GARCH process on aggregate income … shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering. Our results suggest …
Persistent link: https://www.econbiz.de/10013137223
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Income uncertainty and aggregate consumption
Pozzi, Lorenzo - 2005
Persistent link: https://www.econbiz.de/10003201364
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Income uncertainty and aggregate consumption
Pozzi, Lorenzo - 2005
the US over the period 1952-2001. Theoretically, the effect of income risk on consumption changes is decomposed into an … aggregate and into a consumer-specific part. Empirically, aggregate risk is modelled through a GARCH process on aggregate income … shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering. Our results suggest …
Persistent link: https://www.econbiz.de/10011625544