The asymmetric nature of rule-of-thumb consumers
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
This paper investigates the asymmetric nature of the excess sensitivity of consumption to income (the fraction of rule-of-thumb consumers) across different quantiles. All the previous studies have considered the issue using OLS or its variant such as IV or GMM, which means that the excess sensitivity is measured at the center of the conditional distribution of consumption growth. However, it is possible that it can be different at other parts of the distribution. Quantile regression can allow us to investigate the behavior of the excess sensitivity not only at the center, but also at lower/upper quantiles of the entire distribution. Using an instrumental variable quantile regression framework, we discovered that the excess sensitivity decreased and eventually became insignificant when moving towards higher quantiles.
Abstract
This paper investigates the asymmetric nature of the excess sensitivity of consumption to income (the fraction of rule-of-thumb consumers) across different quantiles. All the previous studies have considered the issue using OLS or its variant such as IV or GMM, which means that the excess sensitivity is measured at the center of the conditional distribution of consumption growth. However, it is possible that it can be different at other parts of the distribution. Quantile regression can allow us to investigate the behavior of the excess sensitivity not only at the center, but also at lower/upper quantiles of the entire distribution. Using an instrumental variable quantile regression framework, we discovered that the excess sensitivity decreased and eventually became insignificant when moving towards higher quantiles.
참고문헌 (21)
- Amato, J., "Rule-of-thumb behavior and monetary policy", European Economic Review, 47, pp.791~831 (2003)
- Bacchetta, P., "Consumption and credit constraints: International evidence", Journal of Monetary Economics, 40, pp.207~238 (1997)
- Baxter, M., "Household production and the excess sensitivity of consumption to current Income", American Economic Review, 89, pp.902~920 (1999)
- Campbell, J.Y., "In National Bureau of Economic Research Macroeconomics Annual", pp.185~216 (1989), MIT Press
- Campbell, J.Y., "Permanent income, current income, and consumption", Journal of Business and Economic Statistics, 8, pp.265~279 (1990)
- Chernozhukov, V., "An IV model of quantile treatment effects", Econometrica, 73, pp.245~261 (2005)
- Chernozhukov, V., "Instrumental quantile regression inference for structural and treatment effect models", Journal of Econometrics, 132, pp.491~525 (2006)
- Chortareas, G., "The asymmetry of the New Keynesian Phillips Curve in the euro-area", Economics Letters, 114, pp.161~163 (2012)
- Friedman, M, "A theory of the consumption function" (1957), Princeton Univ. Press
- Gali, J., "Rule-of-thumb consumers and the design of interest rate rules", Journal of Money, Credit, and Banking, 36, pp.739~763 (2004)
- Gali, J., "Understanding the effects of government spending on consumption", Journal of the European Economic Association, 5, pp.227~270 (2007)
- Hamilton, J.D., "A new approach to the economic analysis of nonstationary time series and the business cycle", Econometrica, 57, pp.357~384 (1989)
- Kim, C.J., "State-Space Models with Regime Switching" (1999), MIT Press
- Kim, T., "Two-stage quantile regressions when the first stage is based on quantile regressions", Econometrics Journal, 7, pp.218~231 (2004)
- Bias transmission and variance reduction in two-stage estimation, "Kim, T.", Yonsei University, ~ (2012)
- 김윤미, "Has the Fraction of Rule-of-Thumb Consumers Changed over Time?", 경제연구, 30(2), pp.201~213 (2012), 한국경제통상학회[DOI]
- Kim, Y., "Pricing stock market volatility: does it matter whether the volatility is related to the business cycle?", Journal of Financial Econometrics, 12, pp.307~328 (2014)
- Koenker, R., "Regression quantiles", Econometrica, 46, pp.33~50 (1978)
- Mankiw, N.G., "The savers-spenders theory of fiscal policy", American Economic Review, 90, pp.120~125 (2000)
- McKiernan B., "Consumption and the credit market", Economics Letters, 51, pp.83~88 (1996)
- Wilcox, D.W., "Social security benefits, consumption expenditure, and the life cycle hypothesis", Journal of Political Economy, 97, pp.288~304 (1989)