Artikel
New evidence on the excess smoothness of consumption
The purpose of this paper is to revisit the evidence on the excess smoothness of consumption within the permanent income model, by using recently available monthly data. Two formulations of the univariate process of personal disposable income are adopted: in the levels and in the log-levels. More than one sample is studied. Three different impacts are defined and measured. In theory, the three of them should be equal. The conclusion that is strongly supported is that these three impacts are significantly different from each other, implying that excess smoothness is still a feature of the data. However a weak version of the permanent income hypothesis is endorsed which is that consumption changes by the annuity value of revised expectations of future income. In other terms, permanent income innovations have a significant, although relatively small, effect on consumption.
- Language
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Englisch
- Bibliographic citation
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Journal: The Open Economics Journal ; ISSN: 1874-9194h ; Volume: 2 ; Year: 2009 ; Pages: 10-19 ; Sharjah: Bentham Open
- Classification
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Wirtschaft
- Subject
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permanent income hypothesis
excess smoothness of consumption
ARIMA models
revision of expectations
income innovation
consumption on on-durables
US evidence
- Event
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Geistige Schöpfung
- (who)
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Azar, Samih Antoine
- Event
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Veröffentlichung
- (who)
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Bentham Open
- (where)
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Sharjah
- (when)
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2009
- DOI
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doi:10.2174/1874919400902010010
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Azar, Samih Antoine
- Bentham Open
Time of origin
- 2009
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