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Precautionary saving and partially observed income

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  • Wang, Neng

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  • Wang, Neng, 2004. "Precautionary saving and partially observed income," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1645-1681, November.
  • Handle: RePEc:eee:moneco:v:51:y:2004:i:8:p:1645-1681
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    1. Christopher D. Carroll, 1997. "Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis," The Quarterly Journal of Economics, Oxford University Press, vol. 112(1), pages 1-55.
    2. Caballero, Ricardo J., 1990. "Consumption puzzles and precautionary savings," Journal of Monetary Economics, Elsevier, pages 113-136.
    3. Campbell, John Y, 1987. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Econometric Society, vol. 55(6), pages 1249-1273, November.
    4. 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 971-987, December.
    5. Pischke, Jorn-Steffen, 1995. "Individual Income, Incomplete Information, and Aggregate Consumption," Econometrica, Econometric Society, pages 805-840.
    6. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    7. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, pages 326-334.
    8. Kimball, Miles S & Mankiw, N Gregory, 1989. "Precautionary Saving and the Timing of Taxes," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 863-879, August.
    9. Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-1248, September.
    10. 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.
    11. Gennotte, Gerard, 1986. " Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-746, July.
    12. Pierre-Olivier Gourinchas & Jonathan A. Parker, 2002. "Consumption Over the Life Cycle," Econometrica, Econometric Society, vol. 70(1), pages 47-89, January.
    13. Stephen P. Zeldes, 1989. "Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence," The Quarterly Journal of Economics, Oxford University Press, vol. 104(2), pages 275-298.
    14. Lars Ljungqvist & Thomas J. Sargent, 2004. "Recursive Macroeconomic Theory, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026212274x, January.
    15. Storesletten, Kjetil & Telmer, Christopher I. & Yaron, Amir, 2004. "Consumption and risk sharing over the life cycle," Journal of Monetary Economics, Elsevier, pages 609-633.
    16. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1.
    17. S. Rao Aiyagari, 1994. "Uninsured Idiosyncratic Risk and Aggregate Saving," The Quarterly Journal of Economics, Oxford University Press, vol. 109(3), pages 659-684.
    18. Storesletten, Kjetil & Telmer, Christopher I. & Yaron, Amir, 2004. "Consumption and risk sharing over the life cycle," Journal of Monetary Economics, Elsevier, pages 609-633.
    19. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    20. Caballero, Ricardo J, 1991. "Earnings Uncertainty and Aggregate Wealth Accumulation," American Economic Review, American Economic Association, pages 859-871.
    21. Deaton, Angus, 1992. "Understanding Consumption," OUP Catalogue, Oxford University Press, number 9780198288244.
    22. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
    23. Jiang Wang, 1993. "A Model of Intertemporal Asset Prices Under Asymmetric Information," Review of Economic Studies, Oxford University Press, vol. 60(2), pages 249-282.
    24. Abowd, John M & Card, David, 1989. "On the Covariance Structure of Earnings and Hours Changes," Econometrica, Econometric Society, vol. 57(2), pages 411-445, March.
    25. M. J. Brennan, 1998. "The Role of Learning in Dynamic Portfolio Decisions," Review of Finance, European Finance Association, vol. 1(3), pages 295-306.
    26. 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 449-475, June.
    27. Detemple, Jerome B, 1986. " Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-391, June.
    28. Fatih Guvenen, 2004. "Learning your Earning: Are Labor Income Shocks Really That Persistent?," 2004 Meeting Papers 177, Society for Economic Dynamics.
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    Cited by:

    1. Luo, Yulei & Nie, Jun & Wang, Gaowang & Young, Eric, 2014. "What We Don't Know Doesn't Hurt Us: Rational Inattention and the Permanent Income Hypothesis in General Equilibrium," MPRA Paper 59182, University Library of Munich, Germany.
    2. Yulei Luo & Jun Nie & Eric R. Young, 2015. "Slow Information Diffusion And The Inertial Behavior Of Durable Consumption," Journal of the European Economic Association, European Economic Association, vol. 13(5), pages 805-840, October.
    3. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
    4. Wang, Haijun, 2016. "Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 48-65.
    5. Yulei Luo & Eric R. Young, 2014. "Signal Extraction And Rational Inattention," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 811-829, April.
    6. Wang, Neng, 2009. "Optimal consumption and asset allocation with unknown income growth," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 524-534, May.
    7. Miao, Jianjun & Wang, Neng, 2007. "Investment, consumption, and hedging under incomplete markets," Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
    8. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Optimal consumption and savings with stochastic income and recursive utility," Journal of Economic Theory, Elsevier, vol. 165(C), pages 292-331.
    9. Luo, Yulei & Nie, Jun & Young, Eric, 2015. "Robust Permanent Income in General Equilibrium," MPRA Paper 63985, University Library of Munich, Germany.
    10. Fatih Guvenen, 2007. "Learning Your Earning: Are Labor Income Shocks Really Very Persistent?," American Economic Review, American Economic Association, pages 687-712.
    11. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
    12. repec:eee:jetheo:v:172:y:2017:i:c:p:55-87 is not listed on IDEAS
    13. repec:eee:dyncon:v:84:y:2017:i:c:p:77-90 is not listed on IDEAS
    14. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
    15. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
    16. Luo, Yulei & Nie, Jun & Wang, Gaowang & Young, Eric R., 2017. "Rational inattention and the dynamics of consumption and wealth in general equilibrium," Journal of Economic Theory, Elsevier, vol. 172(C), pages 55-87.
    17. Wang, Neng, 2006. "Generalizing the permanent-income hypothesis: Revisiting Friedman's conjecture on consumption," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 737-752, May.
    18. Luo, Yulei & Young, Eric, 2013. "Consumption, Market Price of Risk, and Wealth Accumulation under Induced Uncertainty," MPRA Paper 50998, University Library of Munich, Germany.
    19. James Sprigg & Mark Ehlen, 2007. "Comparative dynamics in an overlapping-generations model: the effects of quasi-rational discrete choice on finding and maintaining Nash equilibrium," Computational Economics, Springer;Society for Computational Economics, vol. 29(1), pages 69-96, February.
    20. Wang, Neng, 2007. "An equilibrium model of wealth distribution," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1882-1904, October.

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