The Consumption Euler Equation or the Keynesian Consumption Function?*
The Consumption Euler Equation or the Keynesian Consumption Function?*
复制标题
消费欧拉方程还是凯恩斯消费函数？*
DOI：
10.1111/obes.12394
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
E. Jansen
中科院分区：
文献类型：
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作者：
A. Swensen;Pål Boug;Å. Cappelen;E. Jansen
我们建立了一个一般的协整向量自回归(CVAR)模型，该模型嵌套了一类消费欧拉方程和各种凯恩斯型消费函数。使用基于似然分布的方法和挪威的数据，我们发现，一旦允许围绕金融危机的结构性中断，消费、收入和财富之间的协整就得到了支持。消费与收入和财富的协整，而不仅仅是与收入的协整，这表明欧拉方程在经验上是不相关的。此外，我们发现，消费均衡修正了收入和财富的变化，而不是收入均衡修正了消费的变化，如果欧拉方程成立，情况就会是这样。我们还发现，在CVaR模型中考虑未来消费和收入的条件预期时，欧拉方程中的大多数参数都没有得到数据的证实。只有习惯养成似乎才是解释挪威消费者行为的重要因素。我们更喜欢的模型是动态凯恩斯式消费函数，第一年的边际消费倾向接近25%。
We formulate a general cointegrated vector autoregressive (CVAR) model that nests both a class of consumption Euler equations and various Keynesian type consumption functions. Using likelihoodbased methods and Norwegian data, we find support for cointegration between consumption, income and wealth once a structural break around the financial crisis is allowed for. That consumption cointegrates with both income and wealth and not only with income points to the empirical irrelevance of an Euler equation. Moreover, we find that consumption equilibrium corrects to changes in income and wealth and not that income equilibrium corrects to changes in consumption, which would be the case if an Euler equation is true. We also find that most of the parameters stemming from the class of Euler equations are not corroborated by the data when considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in explaining the Norwegian consumer behaviour. Our preferred model is a dynamic Keynesian type consumption function with a first year marginal propensity to consume out of income close to 25 per cent.