Testing for Excess Sensitivity in Consumption: A State-Space/Unobserved Components Approach
AbstractThis paper tests the joint rational expectations/permanent income hypothesis using a state-space/unobserved components model to specify anticipated and unanticipated elements of permanent, transitory, and seasonal components of the income path and measure their relationships with consumption. The results do not find significant excess sensitivity. However, a similar test that accounts for seasonality using X-11 adjusted data does, thus indicating that seasonal filtering may be responsible for previous empirical rejections of the theory. Since the model includes consumption information in estimating the different components of income, it also improves upon univariate investigations of the relative magnitudes of permanent and transitory disturbances to the income path.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 30 (1998)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2011.
"Estimations of the Natural Rate of Interest in Colombia,"
Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 33-75, January-J.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, . "Estimations of the natural rate of interest in Colombia," Borradores de Economia 626, Banco de la Republica de Colombia.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010. "Estimations of the natural rate of interest in Colombia," BORRADORES DE ECONOMIA 007667, BANCO DE LA REPÚBLICA.
- Johansson, Martin W, 2002. "Reexamining loss aversion in aggregate consumption - Swedish and international evidence," Working Papers 2002:2, Lund University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.