Looking for the News in the Noise. Additional Stochastic Implications of Optimal Consumption Choise
In neoclassical models of consumption choice under earnings uncertainty changes in consumption programs from one period to the next are determined by new information received about future earnings over the period. This proposition suggests that actual consumption choices imbed extractable information about the extent and time resolution of earnings uncertainty. The primary goal of this paper is to demonstrate how one can infer the extent of earnings uncertainty from information on consumption choices. We obtain a theoretical relationship between the revision in the present expected value of consumption (noise) and the revision in the expectation of lifetime earnings (news) that can be used to measure subjective earnings uncertainty.
Volume (Year): (1988)
Issue (Month): 9 ()
|Contact details of provider:|| Postal: |
Web page: http://annales.ensae.fr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Thomas J. Sargent, 1977.
"Rational expectations, econometric exogeneity and consumption,"
25, Federal Reserve Bank of Minneapolis.
- Sargent, Thomas J, 1978. "Rational Expectations, Econometric Exogeneity, and Consumption," Journal of Political Economy, University of Chicago Press, vol. 86(4), pages 673-700, August.
- Mervyn A. King, 1983. "The Economics of Saving," NBER Working Papers 1247, National Bureau of Economic Research, Inc.
- Mankiw, N Gregory & Rotemberg, Julio J & Summers, Lawrence H, 1985.
"Intertemporal Substitution in Macroeconomics,"
The Quarterly Journal of Economics,
MIT Press, vol. 100(1), pages 225-51, February.
- Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April.
- 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.
- Benjamin Eden & Ariel Pakes, 1981.
"On Measuring the Variance-Age Profile of Lifetime Earnings,"
UCLA Economics Working Papers
196, UCLA Department of Economics.
- Eden, Benjamin & Pakes, Ariel, 1981. "On Measuring the Variance-Age Profile of Lifetime Earnings," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 385-94, July.
- Flavin, Marjorie A, 1981. "The Adjustment of Consumption to Changing Expectations about Future Income," Journal of Political Economy, University of Chicago Press, vol. 89(5), pages 974-1009, October.
When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:1988:i:9:p:02. 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: (Robert Gary-Bobo)
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.