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

家庭消费如何应对收入冲击？证据、理论和影响SBE/SES 0820519，Perri和0820494，Krueger：协作我们项目的广泛目标是了解收入变化，无论是确定性的还是随机的，对现代社会家庭福利的影响。例如，该项目让我们能够更好地回答这样的问题：宏观经济衰退对家庭消费的影响是什么？政府是否应该向收入下降的家庭提供转移支付？该项目使用了唯一的微观数据集(意大利家庭收入和财富调查)，该数据集跟踪单个家庭一段时间的情况，并记录收入、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收入变化做出反应。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新颖的，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不是一对一的。它还允许我们明确地研究独立于劳动收入动态的财富变化对消费-储蓄决策的影响(例如，自住房屋的增值)。我们的经验分析揭示了消费和财富对给定收入变化的反应存在显著不对称性(收入增加和收入下降之间)的证据。此外，我们还表明，随着时间的推移，消费和财富对收入冲击的反应程度发生了显着变化。这些经验发现不仅是我们研究随后的理论和定量分析的激励样式化事实，而且它们还为更广泛的研究界提供了现成的数据，可以用来测试其建立在微观基础上的消费储蓄模型。然后，我们确定哪些大类的消费-储蓄模型在质量和数量上与我们研究的第一部分中建立的事实一致。重要的模型输入是家庭在其生命周期中面临的风险工资或劳动力收入过程以及风险资产价格(包括房地产价格)。由于我们项目第一部分中的事实既否定了消费对收入变化一对一做出反应的概念，也否定了财富根本不会对收入冲击做出反应的概念(正如手到嘴的消费理论所预测的那样)，以及消费根本不会对收入冲击做出反应的概念，财富占据了所有收入差异(正如完全保险-完全市场模型所预测的那样)，因此，在我们的理论和定量分析中，我们专注于暗示部分消费保险的模型。我们的结果表明，从数量上讲，最合适的消费-储蓄模型是一个比标准的不完全市场模型包含更多的消费保险，但比有限承诺或私人信息模型更少的模型。我们使用这些发现来确定金融市场的不完全程度，这与我们程式化的事实是一致的。适当的(相对于数据的)金融市场结构的特征对于希望使用这些模型对社会保险计划(如社会保障、残疾保险或累进所得税)进行应用政策分析的其他研究人员具有独立的兴趣。在项目的最后部分，我们评估了第二部分分析中支持的模型对资产价格和资产收益的理论和数量影响。与任何不完全消费保险的模型一样，模型中的资产价格和回报取决于消费增长分布的更高阶矩。我们首先从理论上识别这些关键时刻，然后利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一致。我们发现，我们偏爱的不完美消费保险模型预测的股票溢价(股票相对于无风险债券的预期超额收益)显著高于完全保险的标准资产定价模型。

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.