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The Permanent Income Hypothesis Revisited

Citations

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  1. Easaw, Joshy Z. & Garratt, Dean & Heravi, Saeed M., 2005. "Does consumer sentiment accurately forecast UK household consumption? Are there any comparisons to be made with the US?," Journal of Macroeconomics, Elsevier, vol. 27(3), pages 517-532, September.
  2. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016. "Risks for the long run: Estimation with time aggregation," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
  3. Mercenier, Jean & Michel, Philippe, 2001. "Temporal aggregation in a multi-sector economy with endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1179-1191, August.
  4. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  5. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
  6. Bent E. Sorensen & Charlotte Ostergaard & Oved Yosha, 1998. "Permanent Income, Consumption and Aggregate Constraints: Evidence from US States," FMG Discussion Papers dp287, Financial Markets Group.
  7. Ni, Shawn & Seol, Youn, 2014. "New evidence on excess sensitivity of household consumption," Journal of Monetary Economics, Elsevier, vol. 63(C), pages 80-94.
  8. Charles Ka Yui LEUNG & Wai Yip MA & Jun ZHANG, 2014. "The Market Valuation of Interior Design and Developer Strategies: A Simple Theory and Some Evidence," International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 63-107.
  9. Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, September.
  10. Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-337, June.
  11. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Papers (Old Series) 9901, Federal Reserve Bank of Cleveland.
  12. Mork, Knut Anton & Smith, V. Kerry, 1987. "Testing The Life-Cycle Hypothesis On Panel Data Using Detailed Consumption Diaries And Income Based On Tax Records," Department of Economics and Business - Archive 259425, North Carolina State University, Department of Economics.
  13. Jose Luengo-Prado, Maria, 2006. "Durables, nondurables, down payments and consumption excesses," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1509-1539, October.
  14. Tortorice, Daniel L., 2014. "Credit Constraints, Learning, And Aggregate Consumption Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 18(2), pages 338-368, March.
  15. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 613-631, September.
  16. Charlotte Ostergaard & Bent E. Serensen & Oved Yosha, 2002. "Consumption and Aggregate Constraints: Evidence from U.S. States and Canadian Provinces," Journal of Political Economy, University of Chicago Press, vol. 110(3), pages 634-645, June.
  17. Campbell, John Y., 1994. "Inspecting the mechanism: An analytical approach to the stochastic growth model," Journal of Monetary Economics, Elsevier, vol. 33(3), pages 463-506, June.
  18. Marjorie A. Flavin, 1988. "The Excess Smoothness of Consumption: Identification and Interpretation," NBER Working Papers 2807, National Bureau of Economic Research, Inc.
  19. Charles Ka Yui Leung & Youngman Chun Fai Leong & Ida Yin Sze Chan, 2002. "TOM: Why Isn’t Price Enough?," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 91-115.
  20. Abdelhak S. Senhadji, 2000. "How Significant are Departures from Certainty Equivalence? Some Analytical and Empirical Results," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 597-617, July.
  21. Sebastian Rondeau, 2012. "Sources of Fluctuations in Emerging Markets: Structural Estimation with Mixed Frequency Data," 2012 Meeting Papers 1156, Society for Economic Dynamics.
  22. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  23. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  24. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
  25. Karen E. Dynan, 2000. "Habit Formation in Consumer Preferences: Evidence from Panel Data," American Economic Review, American Economic Association, vol. 90(3), pages 391-406, June.
  26. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
  27. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  28. repec:hal:journl:peer-00815563 is not listed on IDEAS
  29. Lawrence J. Christiano, 1987. "Why is consumption less volatile than income?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 11(Fall), pages 2-20.
  30. José E. Boscá & Antonio Cutanda & Javier Escribá, 2006. "Efficiency in the provision of public and private capital in 15 OECD countries," Investigaciones Economicas, Fundación SEPI, vol. 30(2), pages 207-237, May.
  31. Otto, Glenn D. & Voss, Graham M., 1998. "Is public capital provision efficient?," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 47-66, June.
  32. Campbell, John Y. & Cocco, Joao F., 2007. "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 591-621, April.
  33. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
  34. Hahm, Joon-Ho, 1998. "Consumption adjustment to real interest rates: Intertemporal substitution revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 293-320, February.
  35. Luis E. Arango & Luz A. Flórez & N. Johana Marín & Carlos E. Posada, 2024. "Consumption of households in Colombia: What do the retail trade indices tell us?," Borradores de Economia 1275, Banco de la Republica de Colombia.
  36. Bente Halvorsen & Bodil M. Larsen, 2008. "The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias," Discussion Papers 537, Statistics Norway, Research Department.
  37. Charles Leung & Youngman Leong & Siu Wong, 2006. "Housing Price Dispersion: An Empirical Investigation," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 357-385, May.
  38. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
  39. Bartsch, Zachary, 2019. "Economic policy uncertainty and dollar-pound exchange rate return volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  40. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  41. Urban J. Jermann & Marianne Baxter, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," American Economic Review, American Economic Association, vol. 89(4), pages 902-920, September.
  42. West, Kenneth D., 1988. "The insensitivity of consumption to news about income," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 17-33, January.
  43. 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.
  44. Guay, Richard & Milbourne, Ross D. & Otto, Glenn & Smith, Gregor W., 1990. "Estimation du PIB mensuel canadien : 1962 à 1985," L'Actualité Economique, Société Canadienne de Science Economique, vol. 66(1), pages 14-30, mars.
  45. Ebadi Esmaeil & Are Wasiu, 2023. "Reinvestigating the U.S. Consumption Function: A Nonlinear Autoregressive Distributed Lags Approach," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-22, January.
  46. Penelope A. Smith & Lei Lei Song, 2005. "Response of Consumption to Income, Credit and Interest Rate Changes in Australia," Melbourne Institute Working Paper Series wp2005n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  47. Du, Yingxin & Ju, Jiandong & Ramirez, Carlos D. & Yao, Xi, 2017. "Bilateral trade and shocks in political relations: Evidence from China and some of its major trading partners, 1990–2013," Journal of International Economics, Elsevier, vol. 108(C), pages 211-225.
  48. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  49. Brigitte Desroches & Marc‐André Gosselin, 2004. "Evaluating Threshold Effects in Consumer Sentiment," Southern Economic Journal, John Wiley & Sons, vol. 70(4), pages 942-952, April.
  50. Gadi Barlevy, 2004. "The Cost of Business Cycles Under Endogenous Growth," American Economic Review, American Economic Association, vol. 94(4), pages 964-990, September.
  51. Wooheon Rhee, 2004. "Habit Formation And Precautionary Saving: Evidence From The Korean Household Panel Studies," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 1-19, December.
  52. Taylor, Alan M, 2001. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," Econometrica, Econometric Society, vol. 69(2), pages 473-498, March.
  53. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
  54. Marco Malgarini & Patrizia Margani, 2005. "Psychology, consumer sentiment and household expenditures: a disaggregated analysis," ISAE Working Papers 58, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  55. Martin Sommer, 2004. "Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption," Macroeconomics 0408004, University Library of Munich, Germany.
  56. Martin Sommer & Christopher Carroll, 2004. "Epidemiological expectations and consumption dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 92, Money Macro and Finance Research Group.
  57. Ivan Paya & David A. Peel, 2011. "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 192-203, February.
  58. Shawn Ni, 2007. "Excess Sensitivity in Consumption without Liquidity Constraint: Evidence from Monthly Household Panel Data," Working Papers 0714, Department of Economics, University of Missouri.
  59. Besley, Timothy & Meads, Neil & Surico, Paolo, 2008. "Household External Finance and Consumption," Discussion Papers 25, Monetary Policy Committee Unit, Bank of England.
  60. Edward J. Green & Soo-Nam Oh, 1991. "Can a \\"credit crunch\\" be efficient?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 15(Fall), pages 3-17.
  61. Charles Ka Yui Leung & Kelvin Siu Kei Wong & Patrick Wai Yin Cheung, 2007. "On the Stability of the Implicit Prices of Housing Attributes: A Dynamic Theory and Some Evidence," International Real Estate Review, Global Social Science Institute, vol. 10(2), pages 66-93.
  62. Martin Sommer, 2001. "Sentiment Predictable Income and Habits in the Dynamics of Aggregate Consumption," Economics Working Paper Archive 458, The Johns Hopkins University,Department of Economics.
  63. David Demery & Nigel W. Duck, 2000. "Incomplete information and the time series behaviour of consumption," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 355-366.
  64. Sydney C. Ludvigson & Alexander Michaelides, 2001. "Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?," American Economic Review, American Economic Association, vol. 91(3), pages 631-647, June.
  65. Lee, Taeyol, 1993. "The excess smoothness puzzle in consumption," ISU General Staff Papers 1993010108000011471, Iowa State University, Department of Economics.
  66. Lawrence J. Christiano, 1987. "Intertemporal substitution and smoothness of consumption," Working Papers 427, Federal Reserve Bank of Minneapolis.
  67. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
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