Advanced Search
MyIDEAS: Login to save this paper or follow this series

Studies in Time Series Analysis of Consumption, Asset Prices and Forecasting

Contents:

Author Info

  • Takala, Kari

    ()
    (Bank of Finland)

Registered author(s):

    Abstract

    This collection of seven papers deals with three different areas of econometric applications: consumption, asset prices, and forecasting. The papers apply techniques related to the analysis of unit roots and cointegration methods. The first paper deals with consumption theories and formulates an error-correction forecasting model for consumption. A single cointegration relationship is found between consumption, income and net wealth, which is in line with the permanent income hypothesis. The second paper studies the excess sensitivity of consumption to current disposable income. Estimating the coefficient with time-varying techniques, we notice a decline in the coefficient during the period of financial deregulation toward the end of the 1980s and a rise during the recession. Third paper takes a closer look at how useful consumer barometer variables can be in forecasting variables such as consumption and inflation. The first paper on asset prices, is based on the theory of cointegration between house and stock prices, which asserts that real after-tax risk-adjusted returns on assets should coincide in the long run. This paper presents a model for house prices that uses stock prices as a leading indicator to improve the forecasting of housing prices. Another paper on asset prices considers cointegration between house prices and inflation, and finds eg that house prices adjust to consumer prices in the long run and that no excess real appreciation, apart from rental income, is derived from house ownership. The two last papers deal with bankruptcy forecasting and testing for nonlinearities and chaos. It is asserted that bankruptcies can be interpreted as error-correction between supply and demand. Many tests have been developed to study the presence of nonlinearities in economic series. The results of testing unambiguously support that there are strong nonlinearities in economic data, but the evidence for chaos is weak.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/erillisjulkaisut/Documents/E22.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Bank of Finland in its series Scientific Monographs with number E:22/2001.

    as in new window
    Length: 303 pages
    Date of creation: 29 Dec 2001
    Date of revision:
    Handle: RePEc:hhs:bofism:2001_022

    Contact details of provider:
    Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
    Web page: http://www.suomenpankki.fi/en/
    More information through EDIRC

    Related research

    Keywords: cointegration; asset prices; forecasting; nonlinearity; bankruptcy;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hhs:bofism:2001_022. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Minna Nyman) or (Päivi Määttä).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.