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Testing the permanent income hypothesis in the developing and developed countries: A comparison between Fiji and Australia

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Rao, B. Bhaskara
Sharma, Kanhaiya Lal

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Abstract

Hall (1978) has stimulated considerable controversy and empirical work on testing the permanent income hypothesis (PIH). Much of the empirical work is on the developed countries where opportunities for inter-temporal substitution are generally higher than in the developing countries. Therefore, it is expected that PIH would be valid for only a smaller proportion of consumers in the developing countries. This paper uses the extended framework of Campbell and Mankiw (1989) to estimate the proportion of consumers for whom PIH is valid in Fiji and Australia. Our results show that PIH consumers are about 40\% higher in Australia than in Fiji.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2725.

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Date of creation: 14 Apr 2007
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Handle: RePEc:pra:mprapa:2725

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Related research
Keywords: Consumption function Developing countries Permanent income hypothesis Hall’s random walk hypothesis Campbell-Mankiw tests.

Find related papers by JEL classification:
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
E20 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
E29 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Other

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References listed on IDEAS
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  1. Hansen, Lars Peter & Singleton, Kenneth J, 1996. "Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 53-68, January.
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  2. Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers 404, University of Rochester - Center for Economic Research (RCER).
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  3. 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. [Downloadable!] (restricted)
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  4. Bayoumi, Tamim, 1994. "Consumption, Income, and International Capital Market Integration," CEPR Discussion Papers 1028, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Masasaki Fuse, 2004. "Estimating intertemporal substitution in Japan," Applied Economics Letters, Taylor and Francis Journals, vol. 11(4), pages 267-269, March. [Downloadable!] (restricted)
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