Liquidity Constraints and the Permanent Income Hypothesis: Pseudo Panel Estimation with German Consumption Survey Data
Liquidity Constraints and the Permanent Income Hypothesis: Pseudo Panel Estimation with German Consumption Survey Data
复制标题
流动性约束和永久收入假设：利用德国消费调查数据进行的伪面板估计
DOI：
10.2139/ssrn.2121246
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Richard R. Ochmann
中科院分区：
文献类型：
--
作者：
Martin Beznoska;Richard R. Ochmann
本文实证研究了流动性约束与跨期居民消费过度敏感性的关系。使用一个伪面板，已建立在丰富的德国消费调查数据，我们估计的消费反应，永久性和暂时性的收入冲击，以及存在的过度敏感性预期的收入变化。一个开关回归方法与未知的样本分离，以确定这两个政权是否是流动性约束或没有。研究结果被用来检验流动性约束是否影响永久收入假说的有效性。对于家庭的约束制度，在短暂的收入变化的反应被认为是显着大于家庭的不受约束的制度。此外，我们提供的证据表明，过度敏感的预期收入变化的家庭在约束制度，如果总消费，耐用以及非耐用，被认为是。
This paper empirically investigates the relevance of liquidity constraints and excess sensitivity in intertemporal household consumption. Using a pseudo panel that has been constructed on rich German consumption survey data, we estimate the consumption responses to permanent and transitory income shocks, as well as the presence of excess sensitivity to anticipated income changes. A switching regression approach with unknown sample separation is applied to identify the two regimes whether to be liquidity constrained or not. The results are used to test whether liquidity constraints affect the validity of the permanent income hypothesis. For households in the constrained regime, reactions to changes in transitory income are found to be significantly greater than for households in the unconstrained regime. Furthermore, we provide evidence for excess sensitivity to anticipated income changes for households in the constrained regime if total consumption, durable as well as non-durable, is considered.
影响因子：
12.6
作者：
Attanasio, Orazio P.;Weber, Guglielmo
通讯作者：
Weber, Guglielmo