Cointegration, Government Spending and Private Consumption: Evidence from Japan
Cointegration, Government Spending and Private Consumption: Evidence from Japan
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协整、政府支出和私人消费：来自日本的证据
DOI：
10.1111/j.1468-5876.2004.t01-1-00300.x
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Tsungwu Ho
中科院分区：
文献类型：
--
作者：
Tsungwu Ho
假设CRRA偏好，本文表明消费函数中存在由时间内一阶条件隐含的协整限制。这种限制预示着政府消费、私人消费及其相对价格的协整系统。分析结果表明，Johansen的VECM证实了日本数据所支持的理论预测; Bierens（1997）的非参数估计与理论模型存在严重矛盾，对数据拟合较差;随着时间的推移，日本人重新安排消费的意愿越来越强。此外，私人和政府消费之间的时内关系随着时间的推移保持相对稳定。
Assuming a CRRA preference, this paper shows that there is a cointegration restriction implied by the intra‐temporal first‐order condition in the consumption function. This restriction predicts a cointegrated system of government consumption, private consumption, and their relative price. Our analysis indicates that, first, Johansen's VECM confirms the theoretical prediction that is supported by the data of Japan; moreover, Bierens’ (1997) nonparametric estimator severely contradicts with the theoretical model and fits the data poorly; second, Japanese people have increasing willingness to rearrange their consumption over time. Besides, the intratemporal relationship between private and government consumption remains relatively stable over time.
影响因子：
6.1
作者：
PERRON, P
通讯作者：
PERRON, P