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  • Pz50gw105?file=thumbnail
    Creator: Christiano, Lawrence J., Eichenbaum, Martin S., and Marshall, David A.
    Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department)
    Number: 335
    Abstract:

    This paper investigates whether there are simple versions of the permanent income hypothesis which are consistent with the aggregate U.S. consumption and output data. Our analysis is conducted within the confines of a simple dynamic general equilibrium model of aggregate real output, investment, hours of work and consumption. We study the quantitative importance of two perturbations to the version of our model which predicts that observed consumption follows a random walk: (i) changing the production technology specification which rationalizes the random walk result, and (ii) replacing the assumption that agents' decision intervals coincide with the data sampling interval with the assumption that agents make decisions on a continuous time basis. We find substantially less evidence against the continuous time models than against their discrete time counterparts. In fact neither of the two continuous time models can be rejected at conventional significance levels. The continuous time models outperform their discrete time counterparts primarily because they explicitly account for the fact that the data used to test the models are time averaged measures of the underlying unobserved point-in-time variables. The net result is that they are better able to accommodate the degree of serial correlation present in the first difference of observed per capita U.S. consumption.

    关键词: Consumption and Income
    学科: E21 - Macroeconomics: Consumption; Saving; Wealth and C52 - Model Evaluation, Validation, and Selection
  • 6969z079p?file=thumbnail
    Creator: Christiano, Lawrence J., Eichenbaum, Martin S., and Marshall, David A.
    Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department)
    Number: 335
    Abstract:

    This paper investigates whether there are simple versions of the permanent income hypothesis which are consistent with the aggregate U.S. consumption and output data. Our analysis is conducted within the confines of a simple dynamic general equilibrium model of aggregate real output, investment, hours of work and consumption. We study the quantitative importance of two perturbations to the version of our model which predicts that observed consumption follows a random walk: (i) changing the production technology specification which rationalizes the random walk result, and (ii) replacing the assumption that agents' decision intervals coincide with the data sampling interval with the assumption that agents make decisions on a continuous time basis. We find substantially less evidence against the continuous time models than against their discrete time counterparts. In fact neither of the two continuous time models can be rejected at conventional significance levels. The continuous time models outperform their discrete time counterparts primarily because they explicitly account for the fact that the data used to test the models are time averaged measures of the underlying unobserved point-in-time variables. The net result is that they are better able to accommodate the degree of serial correlation present in the first difference of observed per capita U.S. consumption.

    关键词: Consumption and Income
    学科: E21 - Macroeconomics: Consumption; Saving; Wealth and C52 - Model Evaluation, Validation, and Selection
  • 7s75dc491?file=thumbnail
    Creator: Christiano, Lawrence J., Eichenbaum, Martin S., and Marshall, David A.
    Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department)
    Number: 129
    Abstract:

    Measured aggregate U.S. consumption does not behave like a martingale. This paper develops and tests two variants of the permanent income model that are consistent with this fact. In both variants, we assume agents make decisions on a continuous time basis. According to the first variant, the martingale hypothesis holds in continuous time and serial persistence in measured consumption reflects only the effects of time aggregation. We investigate this variant using both structural and atheoretical econometric models. The evidence against these models is far from overwhelming. This suggests that the martingale hypothesis may yet be a useful way to conceptualize the relationship between aggregate quarterly U.S. consumption and income. According to the second variant of the permanent income model, serial persistence in measured consumption reflects the effects of exogenous technology shocks and time aggression. In this model, continuous time consumption does not behave like a martingale. We find little evidence against this variance of the permanent income model. It is difficult, on the basis of aggregate quarterly U.S. data, to convincingly distinguish between the different continuous time models considered in the paper.

    关键词: Time aggregation, Consumption, and Permanent income