A Direct test of the permanent income hypothesis: the brazilian case
This paper aims to analyze whether the permanent income hypothesis (PIH) can explain the evolution of consumption in Brazil using a direct test based on consumption revisions induced by income innovations. Under PIH, consumption should react to income changes inasmuch as current income has information about the permanent income. To measure this connection, an ARIMA(p,1,q) model was estimated for current income and, as a result, it was possible to check if revisions in consumption and permanent income are similar. At the end, the PIH was rejected.
Volume (Year): 9 (2012)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: |
Phone: +55 27 4009-4423
Fax: +55 27 4009-4422
Web page: http://www.bbronline.com.br/
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.:
- Brady, Ryan R., 2008.
"Structural breaks and consumer credit: Is consumption smoothing finally a reality?,"
Journal of Macroeconomics,
Elsevier, vol. 30(3), pages 1246-1268, September.
- Ryan R. Brady, 2006. "Structural Breaks and Consumer Credit: Is Consumption Smoothing Finally a Reality?," Departmental Working Papers 13, United States Naval Academy Department of Economics.
- Campbell, John Y. & Mankiw, N. Gregory, 1990.
"Permanent Income, Current Income, and Consumption,"
3353762, Harvard University Department of Economics.
- Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, May.
- Gomes, Fábio Augusto Reis & Issler, João Victor & Salvato, Márcio Antônio, 2004.
"Principais características do consumo de duráveis no Brasil testes de separabilidade entre duráveis e não-duráveis,"
Economics Working Papers (Ensaios Economicos da EPGE)
549, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Gomes, Fábio Augusto Reis & Issler, João Victor & Salvato, Márcio Antônio, 2005. "Principais Características do Consumo de Duráveis no Brasil e Testes de Separabilidade entre Duráveis e Não-Duráveis," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 59(1), January.
- West, Kenneth D., 1988.
"The insensitivity of consumption to news about income,"
Journal of Monetary Economics,
Elsevier, vol. 21(1), pages 17-33, January.
- Kenneth D. West, 1987. "The Insensitivity of Consumption to News About Income," NBER Working Papers 2252, National Bureau of Economic Research, Inc.
- Dejuan, Joseph P & Seater, John J & Wirjanto, Tony S, 2004.
"A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 36(6), pages 1091-1103, December.
- Joseph DeJuan & John Seater & Tony Wirjanto, 2003. "A Direct Test of the Permanent Income Hypothesis with an Application to the US States," Working Papers 03001, University of Waterloo, Department of Economics, revised Jan 2003.
- 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.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Sarantis, Nicholas & Stewart, Chris, 2003. "Liquidity constraints, precautionary saving and aggregate consumption: an international comparison," Economic Modelling, Elsevier, vol. 20(6), pages 1151-1173, December.
- Quah, Danny, 1990.
"Permanent and Transitory Movements in Labor Income: An Explanation for "Excess Smoothness" in Consumption,"
Journal of Political Economy,
University of Chicago Press, vol. 98(3), pages 449-75, June.
- 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.
- repec:fth:harver:1435 is not listed on IDEAS
- John Y. Campbell & N. Gregory Mankiw, 1989.
"Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence,"
NBER Working Papers
2924, National Bureau of Economic Research, Inc.
- John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
- John W. Dawson & Joseph P. Dejuan & John J. Seater & E. Frank Stephenson, 2001. "Economic information versus quality variation in cross-country data," Canadian Journal of Economics, Canadian Economics Association, vol. 34(4), pages 988-1009, November.
- 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.
- repec:fgv:epgrbe:v:59:n:1:a:2 is not listed on IDEAS
- Marjorie Flavin, 1985. "Excess Sensitivity of Consumption to Current Income: Liquidity Constraints or Myopia?," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 117-36, February.
- Vaidyanathan, Geetha, 1993. "Consumption, liquidity constraints and economic development," Journal of Macroeconomics, Elsevier, vol. 15(3), pages 591-610.
- Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6 National Bureau of Economic Research, Inc.
- Gomes, Fábio Augusto Reis, 2004. "Consumo no Brasil: Teoria da Renda Permanente, Formação de Hábito e Restrição à Liquidez," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 58(3), September.
- George-Marios Angeletos, 2001. "The Hyberbolic Consumption Model: Calibration, Simulation, and Empirical Evaluation," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 47-68, Summer.
When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:9:y:2012:i:4:p:87-102. 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: (Sarah Lasso)
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.