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Consommation-revenu permanent : un regard d'économètre

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  • Françoise Maurel
  • Laurence Bloch
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    Abstract

    [ger] Verbrauch und Dauereinkommen : ein ökonometrischer Ansatz, . von Laurence Bloch, Françoise Maurel.. . Dieser Artikel möchte darstellen, wie die Entwicklung neuer ökonometrischer Methoden neue Ansätze und Ergebnisse in der Theorie des Verbraucherverhaltens hervorgerufen hat. Zuerst wird der theoretische Rahmen des Dauereinkommensmodells auf der Basis rationeller Erwartungen definiert (Hall, 1978). Die wichtigsten für die Modellierung des Verbrauchs geeigneten statistischen Merkmale der französischen Reihen werden vorgestellt. Es werden verschiedene Tests des Dauereinkommensmodells auf der Basis rationeller Erwartungen durchgeführt (Hall, 1978, Flavin, 1981). Mit den französischen Daten gelangt man zu demselben Paradox wie Deaton, demzufolge der Verbrauch zu "glatt" ist, als dass er mit der Theorie des Dauereinkommens vereinbar wäre. Ferner werden mehrere Erweiterungen des Modells entwickelt, und die Hypothèse des Dauereinkommens wird auf der Basis rationeller Erwartungen empirischen Überprüfungen unterzogen. [spa] Consumo-ingresos permanentes : perspectiva econométrica, . por Laurence Bloch y Françoise Maurel.. . El presente artículo tiene por objeto explicar cómo, el desarrollo de las nuevas técnicas econométricas, ha dado lugar a nuevos enfoques y aportado nuevas respuestas a la teoría del consumidor. En primer lugar se define el marco teórico del modelo de ingresos permanentes con anticipations racionales (Hall, 1978). Acto seguido se presentan las principales propiedades estadísticas de las series francesas utilizadas para modelizar el consumo y se efectûan diversas pruebas empíricas del modelo de ingresos permanentes con anticipations racionales (Hall, 1978, Flavin, 1981). Con los datos franceses se obtiene la misma paradoja que Deaton, según la cual el consumo es demasiado "suave" para ser compatible con la teoría de los ingresos permanentes. Por último se desarrollan diversas extensiones del modelo y se realizan pruebas empíricas de la hipótesis de los ingresos permanentes con anticipations racionales. [eng] Consumption - Permanent Income: An Econometrician's Standpoint, . by Laurence Bloch, Françoise Maurel.. . The purpose of this paper is to show how the development of new econometric techniques has resulted in new approaches and solutions in consumer theory. The theoretical context of the permanent income model under rational expectations (Hall, 1978) is first determined. The major statistical properties of the French series are given which are helpful in constructing a consumption model. Anumber of empirical tests are run on the permanent income model under rational expectations (Hall, 1978, Flavin, 1981). Using French data, we come to the same paradoxical conclusion as Deaton did, according to whom consumption is too "smooth" to be compatible with the permanent income theory. A number of extensions of the model are then developed and empirical tests on the permanent income model under rational expectations hypothesis are run. [fre] Consommation-revenu permanent : un regard d'économètre, . par Laurence Bloch, Françoise Maurel.. . Le but de cet article est de présenter comment le développement de nouvelles techniques économétriques a suscité des approches et des réponses nouvelles dans la théorie du consommateur. Le cadre théorique du modèle de revenu permanent sous anticipations rationnelles (Hall, 1978) est d'abord défini. Les principales propriétés statistiques des séries françaises, utiles pour modéliser la consommation, sont présentées. Différents tests empiriques du modèle de revenu permanent sous anticipations rationnelles (Hall, 1978, Flavin, 1981) sont effectués. Sur données françaises on aboutit au même paradoxe que Deaton, selon lequel la consommation est trop "lisse" pour être compatible avec la théorie du revenu permanent. Puis diverses extensions du modèle sont développées, et des tests empiriques de l'hypothèse du revenu permanent sous anticipations rationnelles sont menés.

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    Bibliographic Info

    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 99 (1991)
    Issue (Month): 3 ()
    Pages: 113-144

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1991_num_99_3_5245

    Note: DOI:10.3406/ecop.1991.5245
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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    1. Banerjee, Anindya & Dolado, Juan, 1988. "Tests of the Life Cycle-Permanent Income Hypothesis in the Presence of Random Walks: Asymptotic Theory and Small-Sample Interpretations," Oxford Economic Papers, Oxford University Press, vol. 40(4), pages 610-33, December.
    2. Quah, D., 1989. "Permanent And Transitory Movements In Labor Income: An Explanation For "Excess Smoothness" In Consumption," Working papers 535, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. Graham, John W., 1989. "International differences in saving rates and the life cycle hypothesis : Reply and further evidence," European Economic Review, Elsevier, vol. 33(7), pages 1499-1507, September.
    4. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    6. B. Douglas Bernheim, 1988. "Ricardian Equivalence: An Evaluation of Theory and Evidence," NBER Working Papers 2330, National Bureau of Economic Research, Inc.
    7. Campbell, John Y, 1987. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Econometric Society, vol. 55(6), pages 1249-73, November.
    8. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    9. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
    10. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
    11. Chris Carroll & Lawrence H. Summers, 1987. "Why Have Private Saving Rates in the United States and Canada Diverged?," NBER Working Papers 2319, National Bureau of Economic Research, Inc.
    12. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
    13. Koskela, Erkki & Viren, Matti, 1989. "International differences in saving rates and the life cycle hypothesis : A comment," European Economic Review, Elsevier, vol. 33(7), pages 1489-1498, September.
    14. Matthew D. Shapiro & N. Gregory Mankiw, 1984. "Trends, Random Walks, and Tests of the Permanent Income Hypothesis," Cowles Foundation Discussion Papers 725, Cowles Foundation for Research in Economics, Yale University.
    15. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
    16. Campbell, John Y & Deaton, Angus, 1989. "Why Is Consumption So Smooth?," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 357-73, July.
    17. Chris Carroll & Lawrence H. Summers, 1989. "Consumption Growth Parallels Income Growth: Some New Evidence," NBER Working Papers 3090, National Bureau of Economic Research, Inc.
    18. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
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    20. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    21. Alan S. Blinder & Angus Deaton, 1985. "The Time Series Consumption Function Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 16(2), pages 465-521.
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    Cited by:
    1. Sandrine Lardic & Valérie Mignon, 2003. "Cointégration fractionnaire entre la consommation et le revenu," Économie et Prévision, Programme National Persée, vol. 158(2), pages 123-142.

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