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Liquidity constraints and the permanent-income hypothesis : Evidence from panel data

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Cited by:

  1. Andrea Repetto, 2001. "Incentivos al Ahorro Personal: Lecciones de la Economía del Comportamiento," Documentos de Trabajo 103, Centro de Economía Aplicada, Universidad de Chile.
  2. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 1-32.
  3. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, pages 116-129.
  4. Arif Oduncu, 2012. "Determinants of Precautionary Savings: Elasticity of Intertemporal Substitution vs. Risk Aversion," EcoMod2012 4380, EcoMod.
  5. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Review of Financial Studies, Society for Financial Studies, pages 305-344.
  6. Attanasio, Orazio P & Weber, Guglielmo, 1995. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," Journal of Political Economy, University of Chicago Press, vol. 103(6), pages 1121-1157, December.
  7. Orazio P. Attanasio & Pinelopi Koujianou Goldberg & Ekaterini Kyriazidou, 2008. "Credit Constraints In The Market For Consumer Durables: Evidence From Micro Data On Car Loans," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(2), pages 401-436, May.
  8. Kolm, Ann-Sofie & Larsen, Birthe, 2001. "Moral, the Informal Sector, and Unemployment," Working Paper Series 2001:9, Uppsala University, Department of Economics.
  9. Andrei SEMENOV, "undated". "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  10. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  11. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters,in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  12. Li, Geng, 2009. "Transaction costs and consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1263-1277, June.
  13. Inoue, Atsushi & Shintani, Mototsugu, 2006. "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, vol. 133(2), pages 531-555, August.
  14. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
  15. Douglas W. Elmendorf, "undated". "The Effect of Interest-Rate Changes on Household Saving and Consumption: A Survey," Finance and Economics Discussion Series 1996-27, Board of Governors of the Federal Reserve System (U.S.).
  16. Nicholas, Tom, 1998. "Clogs to clogs in three generations? Explaining entrepreneurial performance in Britain since 1850," Economic History Working Papers 22395, London School of Economics and Political Science, Department of Economic History.
  17. Karen E. Dynan, 2000. "Habit Formation in Consumer Preferences: Evidence from Panel Data," American Economic Review, American Economic Association, pages 391-406.
  18. Christopher D. Carroll & Andrew A. Samwick, 1998. "How Important Is Precautionary Saving?," The Review of Economics and Statistics, MIT Press, pages 410-419.
  19. Issler, João Victor & Piqueira, Natália Scotto, 2001. "Estimando a aversão ao risco, a taxa de desconto intertemporal, e a substutibilidade intertemporal do consumo no Brasil usando três tipos de função utilidade," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 424, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  20. Umar Faruqui & Samah Torchani, 2012. "How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data," Discussion Papers 12-9, Bank of Canada.
  21. Chah, Eun Young & Ramey, Valerie A & Starr, Ross M, 1995. "Liquidity Constraints and Intertemporal Consumer Optimization: Theory and Evidence from Durable Goods," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 272-287, February.
  22. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers 4/14, Monash University, Department of Econometrics and Business Statistics.
  23. Dolls, Mathias & Fuest, Clemens & Peichl, Andreas, 2012. "Automatic stabilizers and economic crisis: US vs. Europe," Journal of Public Economics, Elsevier, pages 279-294.
  24. Elmendorf, Douglas W. & Gregory Mankiw, N., 1999. "Government debt," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 25, pages 1615-1669 Elsevier.
  25. Federico Revelli, 2013. "Tax Mix Corners and Other Kinks," Journal of Law and Economics, University of Chicago Press, vol. 56(3), pages 741-776.
  26. Paulina Granados Z., 2004. "Income Function of Chilean Households: Life Cicle and Persistence of Shocks," Working Papers Central Bank of Chile 257, Central Bank of Chile.
  27. Christopher D. Carroll & Andrew A. Samwick, 1998. "How Important Is Precautionary Saving?," The Review of Economics and Statistics, MIT Press, pages 410-419.
  28. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  29. Thomas J. Kniesner & James P. Ziliak, 2002. "Tax Reform and Automatic Stabilization," American Economic Review, American Economic Association, pages 590-612.
  30. Souleles, Nicholas S., 2002. "Consumer response to the Reagan tax cuts," Journal of Public Economics, Elsevier, pages 99-120.
  31. Alvarez-Cuadrado, Francisco & El-Attar, Mayssun, 2012. "Income Inequality and Saving," IZA Discussion Papers 7083, Institute for the Study of Labor (IZA).
  32. Lars-Erik Borge & Per Tovmo, 2009. "Myopic or Constrained by Balanced-Budget Rules? The Intertemporal Spending Behavior of Norwegian Local Governments," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 65(2), pages 200-219, June.
  33. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers WP059, Economic and Social Research Institute (ESRI).
  34. Quintana-Domeque, Climent & Wohlfart, Johannes, 2016. "“Relative concerns for consumption at the top”: An intertemporal analysis for the UK," Journal of Economic Behavior & Organization, Elsevier, vol. 129(C), pages 172-194.
  35. Baker Matthew J. & George Lisa M, 2010. "The Role of Television in Household Debt: Evidence from the 1950's," The B.E. Journal of Economic Analysis & Policy, De Gruyter, pages 1-38.
  36. Ziliak, J.P. & Kniesner, T.J., 1996. "The Importance of Sample Attrition in Life Cycle Labor Supply," Discussion Paper 1996-46, Tilburg University, Center for Economic Research.
  37. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, "undated". "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  38. Elmendorf, Douglas W. & Gregory Mankiw, N., 1999. "Government debt," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 25, pages 1615-1669 Elsevier.
  39. Roy Cromb & Emilio Fernandez-Corugedo, 2004. "Long-term interest rates, wealth and consumption," Bank of England working papers 243, Bank of England.
  40. Eva Ventura, 2003. "A note on Measurement Error and Euler Equations: an Alternative to Log-Linear Approximations," General Economics and Teaching 0312004, EconWPA.
  41. Caliendo, Marco & Kritikos, Alexander S. & Wießner, Frank, 2006. "Existenzgründungsförderung in Deutschland: Zwischenergebnisse aus der Hartz-Evaluation," Discussion Papers 253, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  42. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  43. Kolm, A.S. & Larsen, B., 2001. "Moral, The Informal Sector, and Unemployment," Papers 2001:09, Uppsala - Working Paper Series.
  44. Beck, Thorsten & Hesse, Heiko, 2006. "Bank efficiency, ownership, and market structure : why are interest spreads so high in Uganda ?," Policy Research Working Paper Series 4027, The World Bank.
  45. Gomes, Fábio Augusto Reis & Issler, João Victor, 2017. "Testing Consumption Optimality Using Aggregate Data," Macroeconomic Dynamics, Cambridge University Press, pages 1119-1140.
  46. Pratap, Sangeeta & Quintin, Erwan, 2011. "Financial crises and labor market turbulence," Journal of Monetary Economics, Elsevier, pages 601-615.
  47. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  48. Kohara, Miki & Horioka, Charles Yuji, 2006. "Do borrowing constraints matter? An analysis of why the permanent income hypothesis does not apply in Japan," Japan and the World Economy, Elsevier, pages 358-377.
  49. Orazio P. Attanasio & Martin Browning, 1994. "Testing the life cycle model consumption: what can we learn from micro and macro data?," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 433-463, September.
  50. Ni, Shawn & Seol, Youn, 2014. "New evidence on excess sensitivity of household consumption," Journal of Monetary Economics, Elsevier, pages 80-94.
  51. Rossi, Mariacristina, 2005. "Households’ Consumption under the Habit Formation Hypothesis. Evidence from Italian Households using the Survey of Household Income and Wealth (SHIW)," Economics Discussion Papers 8886, University of Essex, Department of Economics.
  52. Edward J. Green & Soo-Nam Oh, 1991. "Can a "credit crunch" be efficient?," Quarterly Review, Federal Reserve Bank of Minneapolis, pages 3-17.
  53. repec:eee:jfpoli:v:72:y:2017:i:c:p:53-61 is not listed on IDEAS
  54. Richard Blundell & Luigi Pistaferri & Ian Preston, 2008. "Consumption Inequality and Partial Insurance," American Economic Review, American Economic Association, pages 1887-1921.
  55. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say “Probably Not”," Working Papers IES 2016/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2016.
  56. Arif Oduncu, 2012. "Determinants of Precautionary Savings: Elasticity of Intertemporal Substitution vs. Risk Aversion," EcoMod2012 4380, EcoMod.
  57. Xuanhua Xu & Bin Pan, 2010. "Capital liquidity and residents’ consumption decision: An asymmetry analysis of economic prosperity," Frontiers of Economics in China, Springer;Higher Education Press, pages 622-639.
  58. Christoph Kneiding & Alexander S. Kritikos, 2013. "Funding self-employment -- the role of consumer credit," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1741-1749, May.
  59. Pischke, Jorn-Steffen, 1995. "Individual Income, Incomplete Information, and Aggregate Consumption," Econometrica, Econometric Society, pages 805-840.
  60. Attanasio, Orazio P., 1995. "The intertemporal allocation of consumption: theory and evidence," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 39-56.
  61. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
  62. Keshav Dogra & Olga Gorbachev, 2016. "Consumption Volatility, Liquidity Constraints and Household Welfare," Economic Journal, Royal Economic Society, vol. 126(597), pages 2012-2037, November.
  63. Natalia, Khorunzhina & Wayne Roy, Gayle, 2011. "Heterogenous intertemporal elasticity of substitution and relative risk aversion: estimation of optimal consumption choice with habit formation and measurement errors," MPRA Paper 34329, University Library of Munich, Germany.
  64. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  65. David B. Gross & Nicholas S. Souleles, 2001. "Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data," NBER Working Papers 8314, National Bureau of Economic Research, Inc.
  66. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  67. Tomat, Gian Maria, 2008. "Modeling the Effects of Financial Constraints on Firm's Investment," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 2, pages 1-26.
  68. Andrea Repetto, 2001. "Incentivos al ahorro personal: Lecciones de la economía del comportamiento," Central Banking, Analysis, and Economic Policies Book Series,in: Felipe Morandé & Rodrigo Vergara & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Edit (ed.), Análisis Empírico del Ahorro en Chile, edition 1, volume 1, chapter 7, pages 191-240 Central Bank of Chile.
  69. Biederman, Daniel K. & Goenner, Cullen F., 2008. "A life-cycle approach to the intertemporal elasticity of substitution," Journal of Macroeconomics, Elsevier, pages 481-498.
  70. James P. Ziliak & Thomas J. Kniesner, 1999. "Estimating Life Cycle Labor Supply Tax Effects," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 326-359, April.
  71. McKeirnan, Barbara, 1996. "Consumption and the credit market," Economics Letters, Elsevier, vol. 51(1), pages 83-88, April.
  72. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  73. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  74. Campbell, John Y. & Cocco, Joao F., 2007. "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, pages 591-621.
  75. Lorraine Dearden & Howard Reed & John Van Reenen, 2006. "The Impact of Training on Productivity and Wages: Evidence from British Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 397-421.
  76. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
  77. Giuseppe Bertola & Stefan Hochguertel, 2007. "Household Debt and Credit: Economic Issues and Data Problems," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(2), pages 115-146, July.
  78. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  79. Nicholas S. Souleles, 2001. "Consumer Sentiment: Its Rationality and Usefulness in Forecasting Expenditure - Evidence from the Michigan Micro Data," NBER Working Papers 8410, National Bureau of Economic Research, Inc.
  80. Gomes, Fabio Augusto Reis & Issler, João Victor, 2009. "Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 682, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  81. Shin-Ichi Nishiyama, 2011. "The Cross-Euler Equation Approach to testing for the Liquidity Constraint: Evidence from Macro and Micro Data," TERG Discussion Papers 273, Graduate School of Economics and Management, Tohoku University.
  82. Jan Babecky & Tomas Havranek, 2013. "Structural Reforms and Growth in Transition: A Meta-Analysis," William Davidson Institute Working Papers Series wp1057, William Davidson Institute at the University of Michigan.
  83. Collado, M. Dolores, 1995. "Separability and aggregate shocks in the life-cycle model of consumption: evidence from Spain," UC3M Working papers. Economics 3950, Universidad Carlos III de Madrid. Departamento de Economía.
  84. Ligon, Ethan A., 2011. "Dynamics, risk, and vulnerability," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8kw7k2dz, Department of Agricultural & Resource Economics, UC Berkeley.
  85. Parker, J.A., 1997. "The Reaction of Household Consumption to Predictable Changes in Payroll Tax Rates," Working papers 9724, Wisconsin Madison - Social Systems.
  86. DeJuan, Joseph P. & Seater, John J., 2007. "Testing the cross-section implications of Friedman's permanent income hypothesis," Journal of Monetary Economics, Elsevier, pages 820-849.
  87. Bernheim, B. Douglas, 2002. "Taxation and saving," Handbook of Public Economics,in: A. J. Auerbach & M. Feldstein (ed.), Handbook of Public Economics, edition 1, volume 3, chapter 18, pages 1173-1249 Elsevier.
  88. Laura Serlenga, 2002. "Three Alternative Approaches to Test the Permanent Income Hypothesis in Dynamic Panels," SERIES 0005, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Feb 2002.
  89. George-Marios Angeletos, 2001. "The Hyberbolic Consumption Model: Calibration, Simulation, and Empirical Evaluation," Journal of Economic Perspectives, American Economic Association, pages 47-68.
  90. Deborah Cobb-Clark & Marie D. Connolly & Christopher Worswick, 2000. "Does the Family Investment Hypothesis Explain Immigrant Labor Market Activity?," Econometric Society World Congress 2000 Contributed Papers 0828, Econometric Society.
  91. Irina Khvostova & Alexander Larin & Anna Novak, 2014. "Euler equation with habits and measurement errors: estimates on Russian micro data," HSE Working papers WP BRP 52/EC/2014, National Research University Higher School of Economics.
  92. Manuela Deidda, 2014. "Precautionary saving under liquidity constraints: evidence from Italy," Empirical Economics, Springer, pages 329-360.
  93. Engen, Eric M. & Gravelle, Jane G. & Smetters, Kent, 1997. "Dynamic Tax Models: Why They Do the Things They Do," National Tax Journal, National Tax Association, vol. 50(3), pages 657-82, September.
  94. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  95. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  96. Filer, Larry & Fisher, Jonathan D., 2007. "Do liquidity constraints generate excess sensitivity in consumption? New evidence from a sample of post-bankruptcy households," Journal of Macroeconomics, Elsevier, pages 790-805.
  97. Marjorie A. Flavin, 1991. "The Joint Consumption/Asset Demand Decision: A Case Study in Robust Estimation," NBER Working Papers 3802, National Bureau of Economic Research, Inc.
  98. Paulina Granados Z., 2004. "Función de Ingresos de los Hogares Chilenos: Ciclo de vida y Persistencia de Shocks," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, pages 51-89.
  99. Andrei SEMENOV, "undated". "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  100. Yoshitsugu Kitazawa & Makoto Ohta, 2005. "PIH and ROT alternative in view of the intertemporal non-separability of preferences: empirical findings from a Japanese panel data," Discussion Papers 25, Kyushu Sangyo University, Faculty of Economics.
  101. DeJuan, Joseph P. & J. Seater, John, 1999. "The permanent income hypothesis:: Evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 351-376, April.
  102. Lee, Taeyol, 1993. "The excess smoothness puzzle in consumption," ISU General Staff Papers 1993010108000011471, Iowa State University, Department of Economics.
  103. Sule Alan & Orazio Attanasio & Martin Browning, 2009. "Estimating Euler equations with noisy data: two exact GMM estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 309-324, March.
  104. Melvin Stephens Jr., 2002. "Paycheck Receipt and the Timing of Consumption," NBER Working Papers 9356, National Bureau of Economic Research, Inc.
  105. repec:voj:journl:v:63:y:2016:i:4:p:395-409 is not listed on IDEAS
  106. Ziliak, James P., 1998. "Does the choice of consumption measure matter? An application to the permanent-income hypothesis," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 201-216, February.
  107. Dubois, Pierre, 2002. "Consommation, partage de risque et assurance informelle : développements théoriques et tests empiriques récents," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 115-149, Mars.
  108. Ramesh Durbarry, 2004. "Foreign aid: is it all consumed?," Journal of International Development, John Wiley & Sons, Ltd., pages 189-199.
  109. Asamoah, Lawrence Adu, 2016. "Fiscal Policy and Lending Rate Nexus in Ghana," MPRA Paper 80209, University Library of Munich, Germany.
  110. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
  111. Alexander Ludwig & Michael Reiter, 2008. "Sharing Demographic Risk – Who is Afraid of the Baby Bust?," CESifo Working Paper Series 2422, CESifo Group Munich.
  112. Laura Blow & Martin Browning & Ian Crawford, 2008. "Revealed Preference Analysis of Characteristics Models," Review of Economic Studies, Oxford University Press, pages 371-389.
  113. Grzegorz Kula, 2003. "Retirement with Perfect Insurance," Tinbergen Institute Discussion Papers 03-097/3, Tinbergen Institute.
  114. Casey B. Mulligan, 1997. "Pecuniary Incentives to Work in the U.S. during World War II," NBER Working Papers 6326, National Bureau of Economic Research, Inc.
  115. Engen, Eric M. & Gravelle, Jane G. & Smetters, Kent, 1997. "Dynamic Tax Models: Why They Do the Things They Do," National Tax Journal, National Tax Association, pages 657-682.
  116. repec:sbe:breart:v:20:y:2000:i:2:a:2758 is not listed on IDEAS
  117. Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192.
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