			Home About us Contact

Consumption Growth (consumption + growth)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	88%

Distribution within Business, Economics, Finance and Accounting

General & Introductory Economics	50%
Econometrics	37%

Selected Abstracts

Mortality Shocks and Survivors' Consumption Growth,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 2 2010
Michael Grimm
Abstract In contrast to health shocks, mortality shocks do not only induce direct costs such as medical and funeral expenses and possibly income loss, but also reduce the number of consumption units in the household. Using data from Indonesia, it is shown that the economic costs related to the death of children and older persons seem to be fully compensated for by the decrease in consumption units. In contrast, when prime-age adults die, survivors face additional costs and, in consequence, use coping strategies. These strategies seem to be quite effective, although households may face higher long-term vulnerability. [source]

Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence

ECONOMETRICA, Issue 4 2008
Pierre Dubois
We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and informal agreements, that is, self-enforcing agreements specifying voluntary transfers. This theoretical setting nests the case of complete markets and the case where only informal agreements are available. We derive a system of nonlinear equations for income and consumption growth. A key prediction of our model is that both variables are affected by lagged consumption as a consequence of the interplay of formal and informal contracting possibilities. In a semiparametric setting, we prove identification, derive testable restrictions, and estimate the model with the use of data from Pakistani villages. Empirical results are consistent with the economic arguments. Incentive constraints due to self-enforcement bind with positive probability and formal contracts are used to reduce this probability. [source]

Testing Parameters in GMM Without Assuming that They Are Identified

ECONOMETRICA, Issue 4 2005
Frank Kleibergen
We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e., the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic ,2 distribution therefore holds under a wider set of circumstances, like weak instruments, than the standard full rank case for the expected Jacobian under which the asymptotic ,2 distributions of the traditional statistics are valid. The behavior of the K statistic can be spurious around inflection points and maxima of the objective function. This inadequacy is overcome by combining the K statistic with a statistic that tests the validity of the moment equations and by an extension of Moreira's (2003) conditional likelihood ratio statistic toward GMM. We conduct a power comparison to test for the risk aversion parameter in a stochastic discount factor model and construct its confidence set for observed consumption growth and asset return series. [source]

Booms and Busts: Consumption, House Prices and Expectations

ECONOMICA, Issue 301 2009
ORAZIO P. ATTANASIO
Over much of the past 25 years, house price and consumption growth have been closely synchronized. Three main hypotheses for this have been proposed: increases in house prices raise household wealth and so their consumption; house price growth reduces credit constraints by increasing the collateral available to homeowners; and house prices and consumption are together influenced by common factors. Using microeconomic data, we find that the relationship between house prices and consumption is stronger for younger than older households, contradicting the wealth channel. We suggest that common causality has been the most important factor linking house prices and consumption. [source]

Economic Sentiment and Yield Spreads in Europe

EUROPEAN FINANCIAL MANAGEMENT, Issue 2 2008
Eva Ferreira
G12; E43 Abstract According toHarvey (1988), the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect investors' expectations about the future economic situation when deciding their plans for consumption and investment. Past literature has used ex post data on output or consumption growth as proxies for their expected value. In this paper, we employ a direct measure of economic agents' expectations, the Economic Sentiment Indicator elaborated by the European Commission, to test this hypothesis. Our results indicate that a linear combination of European yield spreads explains a surprising 93.7\% of the variability of the Economic Sentiment Indicator. This ability of yield spreads to capture economic agent expectations may be the actual reason for the predictive power of yield spreads about future business cycle. [source]

Land of addicts? an empirical investigation of habit-based asset pricing models

JOURNAL OF APPLIED ECONOMETRICS, Issue 7 2009
Xiaohong Chen
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, that habit formation is better described as internal rather than external, and the estimated time-preference parameter and the power utility parameter are sensible. In addition, the estimated habit function generates a positive stochastic discount factor (SDF) proxy and performs well in explaining cross-sectional stock return data. We find that an internal habit SDF proxy can explain a cross-section of size and book-market sorted portfolio equity returns better than (i) the Fama and French (1993) three-factor model, (ii) the Lettau and Ludvigson (2001b) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM, and (v) the classic consumption CAPM. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Fragile beliefs and the price of uncertainty

QUANTITATIVE ECONOMICS, Issue 1 2010
Lars Peter Hansen
C11; C44; C72; E44; G12 A representative consumer uses Bayes' law to learn about parameters of several models and to construct probabilities with which to perform ongoing model averaging. The arrival of signals induces the consumer to alter his posterior distribution over models and parameters. The consumer's specification doubts induce him to slant probabilities pessimistically. The pessimistic probabilities tilt toward a model that puts long-run risks into consumption growth. That contributes a countercyclical history-dependent component to prices of risk. [source]

UNCERTAINTY AND CONSUMPTION: NEW EVIDENCE IN OECD COUNTRIES

BULLETIN OF ECONOMIC RESEARCH, Issue 3 2010
Mario Menegatti
D91; E21 ABSTRACT This work analyses the empirical evidence about precautionary saving in OECD countries in the period 1955,2000. Unlike the previous literature, we perform the test using a measure of uncertainty allowing for heterogeneity in stochastic processes which generate data for each country and selecting for each economy the autoregressive moving average process which best describes the series. The results obtained support the main conclusion of precautionary saving theory, showing that a greater degree of uncertainty increases saving. A less clear conclusion is obtained with reference to the effect of uncertainty on consumption growth, which does not seem to be strongly supported by the data. [source]

Subjective mortality expectations and consumption and saving behaviours among the elderly

CANADIAN JOURNAL OF ECONOMICS, Issue 3 2010
Martin Salm
Abstract Life expectancy is an important factor that individuals have to take into account for saving and consumption choices. The life-cycle model of consumption and saving behaviour predicts that consumption growth should decrease with higher mortality rates. The aim of this study is to test this hypothesis based on data about subjective longevity expectations from the Health and Retirement Study merged with detailed consumption data from two waves of the Consumption and Activities Mail Survey. This study finds that an increase in subjective mortality by 1% corresponds to an annual decrease in consumption of non-durable goods of around 1.8%. L'espérance de vie est un facteur important dont les personnes doivent tenir compte dans leurs choix de consommation et d'épargne. Le modèle de comportement de consommation et d'épargne au cours du cycle de vie prédit que la croissance de la consommation devrait décroître à mesure que le taux de mortalité augmente. Cette étude met au test cette hypothèse à l'aide de données sur l'espérance de vie subjective tirées des résultats d'une étude sur la santé et la retraite arrimés aux résultats de deux vagues d'enquêtes postales sur la consommation et les activités qui ont produit des données détaillées sur la consommation. Cette étude montre qu'un accroissement de un pour cent dans l'anticipation subjective de mortalité correspond à un déclin d'à peu près 1.8% dans la consommation annuelle de biens non durables. [source]