Effects of Uncertainty on Household Saving Rate
In this master thesis we attempted to investigate the role of economic uncertainty in driving the behavior of household savings for six European countries: Germany, France, Finland, United Kingdom (UK), Portugal and Italy. We focused on three main sources of economic uncertainty: Unemployment Risk, Fiscal Policy Uncertainty and Financial Crisis-Investment risk. We used Unemployment rate as a proxy for labor income uncertainty and the risk of an income loss. We computed the volatility of financial stock prices for each country as an indicator for the presence of a financial crisis. With regard to policy uncertainty, we employed three different measures: a Policy Uncertainty Index constructed by Baker, Bloom, and Davis; Debt to GDP ratio and Government Surplus / Deficit over GDP. We estimated first a Structural Vector Autoregressive (SVAR) model, separately for each country, using quarterly data from 1999 to 2012 and we compared country-specific impulse responses on savings rates. We found that household savings rate reacts in response to fiscal and unemployment shocks differently in each country, whereas we didn’t find any significant response to financial stock price volatility. We then proceeded with the Bayesian estimation of the reduced form VARs for the panel of countries mentioned above as a Hierarchical Linear Model. We focused our analysis on the Average Impulse Responses with the aim of analyzing the aggregate effect on household savings of shocks shared by all countries.
|Date of creation:||17 Jun 2013|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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.:
- Christoph Basten & Andreas Fagereng & Kjetil Telle, 2012.
"Saving and Portfolio Allocation Before and After Job Loss,"
KOF Working papers
12-298, KOF Swiss Economic Institute, ETH Zurich.
- Christoph Basten & Andreas Fagereng & Kjetil Telle, 2016. "Saving and Portfolio Allocation Before and After Job Loss," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 293-324, 03.
- Christoph Basten & Andreas Fagereng & Kjetil Telle, 2012. "Saving and portfolio allocation before and after job loss," Discussion Papers 672, Statistics Norway, Research Department.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:51208. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.