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消費関数の構造推計―家計調査に基づく緩衝在庫貯蓄モデルと予備的貯蓄に関する実証分析―, Structural Estimation of Consumption Function -An Empirical Analysis on Precautionary Saving in a Buffer Stock Saving Model-

Author

Listed:
  • Abe, Naohito
  • Yamada, Tomoaki

Abstract

本論分では，ライフサイクル・予備的貯蓄モデルに基づいて，家計調査のミクロパネルデータを用い構造パラメターの推定，および異なるモデル間の Non-Nested Test を行い，日本経済における予備的貯蓄の重要性について考察した．得られた割引因子と相対的危険回避度の推定値は，それぞれ0.98，0.6程度と，経済学的に許容可能な値となった．また，推定パラメターに基づき家計貯蓄を予備的動機とライフサイクル動機に分割すると，予備的動機による貯蓄の増分は非常に大きいことになり，2000年以降の日本の40代の家計貯蓄のうち，約40％が予備的動機であるという結果を得た．, This paper simulates a “buffer-stock” model of precautionary saving and estimates the parameters of the utility function by matching the simulated age-consumption profile with those observed in the micro-level data from the Family Income and Expenditure Survey (FIES) in Japan. Our empirical results show that with the high degree of patience (small subjective discount rate) and the low degree of risk aversion, about 40% of saving by young consumers is due to the precautionary motives.

Suggested Citation

  • Abe, Naohito & Yamada, Tomoaki, 2005. "消費関数の構造推計―家計調査に基づく緩衝在庫貯蓄モデルと予備的貯蓄に関する実証分析―, Structural Estimation of Consumption Function -An Empirical Analysis on Precautionary Saving in a Buffer Stock Saving Model-," Economic Review, Hitotsubashi University, vol. 56(3), pages 248-265, July.
    • Handle: RePEc:hit:ecorev:v:56:y:2005:i:3:p:248-265
    DOI: 10.15057/21522
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    Citations

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    Cited by:

    1. Wako Watanabe, 2005. "Income Uncertainty and Self-Reported Precautionary Wealth: Evidence from the Japanese Micro Data," ISER Discussion Paper 0636, Institute of Social and Economic Research, The University of Osaka.
    2. Keiko MURATA, "undated". "Dissaving by the elderly in Japan: Empirical evidence from survey data," ESRI Discussion paper series 346, Economic and Social Research Institute (ESRI).
    3. Bessho, Shun-ichiro & Tobita, Eiko, 2008. "Unemployment risk and buffer-stock saving: An empirical investigation in Japan," Japan and the World Economy, Elsevier, vol. 20(3), pages 303-325, August.
    4. Naohito Abe & Noriko Inakura & Tomoaki Yamada, 2007. "Consumption, Working Hours, and Wealth Determination in a Life Cycle Model," Bank of Japan Working Paper Series 07-E-14, Bank of Japan.
    5. Sakuragawa, Masaya & Hosono, Kaoru, 2011. "Fiscal sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 25(4), pages 434-446.

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