PIH and ROT alternative in view of the intertemporal non-separability of preferences: empirical findings from a Japanese panel data
AbstractThis paper describes an empirical investigation into the permanent income hypothesis (PIH) and the rule-of-thumb (ROT) alternative hypothesis, both of which allow for the intertemporal non-separability of preferences in the sense that past consumption of the PIH consumers has influence on their current utility. The data used in this study is a Japanese aggregate panel data processed with the Family Income and Expenditure Survey (FIES) for the period 1981-2002, and the GMM estimations for the panel data are carried out for spans within the period. The results demonstrate that the PIH holds for the bubble span 1988-1993 and the serious deflation span 1997-2002, while the ROT alternative holds for the post-bubble depression span 1993-1998.
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Bibliographic InfoPaper provided by Kyushu Sangyo University, Faculty of Economics in its series Discussion Papers with number 25.
Length: 26 pages
Date of creation: Dec 2005
Date of revision:
Permanent income hypothesis; Rule-of-thumb alternative hypothesis; Intertemporal non-separability of preferences; Panel data; Generalized method of moments;
Find related papers by JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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