Collaborative Research: How does Household Consumption Respond to Income Shocks? Evidence, Theory and Implications

合作研究：家庭消费如何应对收入冲击？

• 批准号: 0820494
• 负责人: Dirk Krueger
• 金额: $ 18.85万
• 依托单位: University of Pennsylvania
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-07-01 至 2012-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0820494&HistoricalAwards=false
• 关键词: Collaborative; Research; How; does; Household

How does Household Consumption Respond to Income Shocks? Evidence, Theory and Implications SBE/SES 0820519, Perri and 0820494, Krueger: Collaborative The broad goal of our project is to understand the impact of income changes, deterministic or stochastic, on the welfare of households in modern societies. For example, the project allows us to give better answers to questions such as: What is the impact of a macroeconomic recession on household consumption? Should the government provide transfers to households facing a decline in their income? The project uses the only micro-level data set (the Italian Survey of Household Income and Wealth) that follows individual households over time and records income, comprehensive consumption, labor supply and wealth data in order to document how households economically respond to a change in their income. Our study is the first to systematically study the joint dynamics of income, consumption and wealth in household micro data. The inclusion of wealth in the empirical analysis is novel and allows us to effectively discriminate between different economic theories that all predict that consumption responds to income shocks less than one-for-one. It also allows us to explicitly study the impact on consumption-savings decisions of changes in wealth that are independent of labor income dynamics (for example the appreciation in value of owner-occupied houses). Our empirical analysis uncovers evidence of significant asymmetries (between income increases and income declines) in how consumption and wealth respond to a given income change. Furthermore we show that the magnitudes of consumption and wealth responses to income shocks have changed significantly over time. These empirical findings are not only the motivating stylized facts for the ensuing theoretical and quantitative analysis of our study, but they also provide the broader research community with readily available data against which it can test its micro-founded consumption-savings models. We then determine which broad classes of consumption-savings models are qualitatively and quantitatively consistent with the facts established in the first part of our study. Important model inputs are the risky wage or labor earnings process and the risky asset prices (including property prices) that households face over their life cycle. Since the facts in the first part of our project reject both the notion that consumption responds to income changes one-for-one, and wealth not at all (as the hands-to-mouth theory of consumption would predict) as well as the notion that consumption does not respond to income shocks at all, with wealth taking up all the income variation (as the full insurance-complete markets model predicts), we focus, in our theoretical and quantitative analysis, on models that imply partial consumption insurance. Our results indicate that, quantitatively, the most suitable consumption-savings model is one that implies more consumption insurance than the standard incomplete markets model, but less than models with limited commitment or private information. We use these findings to determine the degree of financial market incompleteness that is consistent with our stylized facts. The characterization of the appropriate (relative to the data) financial market structure is of independent interest to other researchers that want to use these models for applied policy analysis of social insurance programs (such as social security, disability insurance or progressive income taxation). In the last part of our project we evaluate the theoretical and quantitative implications for asset prices and asset returns of the model favored in the analysis in the second part. As in any model with incomplete consumption insurance, the asset prices and returns in the model depend on higher moments of the consumption growth distribution. We first theoretically identify these crucial moments, then use the Italian household data to construct the corresponding empirical moments and finally evaluate whether the model-implied asset prices are consistent with the actually observed Italian asset pricing facts. We find that our preferred imperfect consumption insurance model predicts a significantly higher equity premium (the expected excess return of stocks over risk-free bonds) than the standard asset pricing model with full insurance.

家庭消费如何应对收入冲击？证据，理论和影响SBE/SES 0820519，佩里和0820494，克鲁格：合作我们的项目的广泛目标是了解收入变化的影响，确定性或随机性，在现代社会的家庭福利。例如，该项目使我们能够更好地回答以下问题：宏观经济衰退对家庭消费的影响是什么？政府是否应该向面临收入下降的家庭提供转移支付？该项目使用唯一的微观层面数据集（意大利家庭收入和财富调查），该数据集随时间推移跟踪单个家庭，记录收入、综合消费、劳动力供应和财富数据，以记录家庭如何在经济上对其收入变化作出反应。我们的研究首次系统地研究了家庭微观数据中收入、消费和财富的联合动态。将财富纳入实证分析是一种新颖的做法，使我们能够有效地区分不同的经济理论，这些理论都预测消费对收入冲击的反应小于一对一。它还使我们能够明确地研究独立于劳动收入动态的财富变化（例如自住房屋的升值）对消费储蓄决策的影响。我们的实证分析揭示了消费和财富如何对给定的收入变化做出反应的显著不对称（收入增加和收入下降之间）的证据。此外，我们还发现，随着时间的推移，消费和财富对收入冲击的反应幅度发生了显着变化。这些实证研究结果不仅是我们研究的理论和定量分析的激励程式化事实，而且还为更广泛的研究界提供了现成的数据，可以用来测试其微观基础的消费储蓄模型。然后，我们确定哪些大类的消费储蓄模型是定性和定量一致的事实建立在我们的研究的第一部分。重要的模型输入是有风险的工资或劳动力收入过程，以及家庭在其生命周期中面临的风险资产价格（包括房地产价格）。由于我们项目第一部分中的事实既拒绝了消费对收入变化一一对应的概念，也拒绝了财富根本没有的概念，（正如消费的手到口理论所预测的那样）以及消费根本不对收入冲击做出反应的概念，财富占据了所有收入变化（正如完全保险-完全市场模型所预测的那样），我们在理论和定量分析中关注的是隐含部分消费保险的模型。我们的研究结果表明，从数量上讲，最合适的消费储蓄模型是一个意味着更多的消费保险比标准的不完全市场模型，但低于有限的承诺或私人信息的模型。我们使用这些发现来确定金融市场的不完全性程度，这与我们的程式化事实是一致的。适当的（相对于数据）金融市场结构的表征是独立的兴趣，其他研究人员希望使用这些模型的应用政策分析的社会保险计划（如社会保障，残疾保险或累进所得税）。在我们的项目的最后一部分，我们评估的理论和定量的影响，资产价格和资产收益的模型中的分析青睐的第二部分。与任何具有不完全消费保险的模型一样，模型中的资产价格和收益取决于消费增长分布的高阶矩。我们首先从理论上识别这些关键时刻，然后使用意大利家庭数据构建相应的经验时刻，最后评估模型隐含的资产价格是否与实际观察到的意大利资产定价事实相一致。我们发现，我们首选的不完美消费保险模型预测一个显着更高的股权溢价（股票的预期超额收益率超过无风险债券）比标准的资产定价模型与充分的保险。