186
Views
14
CrossRef citations to date
0
Altmetric
Original Articles

How forecastable is consumption growth? New evidence on the Hall random walk hypothesis

Pages 1435-1446 | Published online: 04 Oct 2010

References

  • Banerjee , A. and Dolado , J. 1987 . Do we reject rational expectations models too often? Interpreting evidence using nagar expansions . Economics Letters , 24 : 27 – 32 .
  • Banerjee , A. and Dolado , J. 1988 . Tests of the life-cycle permanent income hypothesis in the presence of random walks: asymptotic theory and small-sample interpretations . Oxford Economic Papers , 40 : 610 – 633 .
  • Bean , C. R. 1986 . The estimation of ‘surprise’ models and the ‘surprise’ consumption function . Review of Economic Studies , 53 : 497 – 516 .
  • Bernanke , B. 1985 . Adjustment costs, durables and aggregate consumption . Journal of Monetary Economics , 15 : 41 – 68 .
  • Campbell , J. Y. 1987 . Does saving anticipate declining labour income?: An Alternative Test of the Permanent-Income Hypothesis . Econometrica , 55 : 1249 – 1273 .
  • Campbell , J. Y. and Mankiw , N. G. 1989 . “ Consumption, income and interest rates: reinterpreting the time series evidence ” . In National Bureau of Economic Research Macroeconomics Annual 1989 185 – 216 .
  • Campbell , J. Y. and Mankiw , N. G. 1990 . Permanent income, Current income and consumption . Journal of Business and Economic Statistics , 8 : 265 – 279 .
  • Campbell , J. Y and Mankiw , N. G. 1991 . The response of consumption to income: a cross-country investigation . European Economic Review , 35 : 723 – 758 .
  • Carroll , C. D. 1992 . The buffer-stock theory of saving some macroeconomic evidence . Breakings Papers on Economic Activity , : 61 – 135 .
  • Carroll , C. D. 1994 . How does future income affect current consumption? . Quarterly Journal of Economics , 109 : 111 – 147 .
  • Carroll , C. D. and Summers , L. H. 1991 . “ Consumption growth parallels income growth ” . In National Saving and Economic Performance , Edited by: Bernheim , B. D. and Shoven , J. B. 305 – 343 . Chicago : University of Chicago Press .
  • Carroll , C. D. , Fuhrer , J. C. and Wilcox , D. W. 1994 . Does consumer sentiment forecast household spending? If so, why? . American Economic Review , 84 : 1397 – 1408 .
  • Davidson , J. E. H. , Hendry , D. F. , Srba , F. and Yeo , S. 1978 . Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom . Economic Journal , 88 : 661 – 692 .
  • Davidson , J. E. H. and Hendry , D. F. 1981 . Interpreting econometric evidence: The behavior of consumers' expenditure in the UK . European Economic Review , 16 : 177 – 192 .
  • Dynan , K. E. 1993 . How prudent are consumers? . Journal of Political Economy , 101 : 1104 – 1113 .
  • Evans , P. and Karras , G. 1996 . Private and government consumption with liquidity constraints . Journal of International Money and Finance , 15 : 255 – 266 .
  • Person , W. E. and Constantinides , G. M. 1991 . Habit persistence and durability in aggregate consumption: Empirical tests . Journal of Financial Economics , 29 : 199 – 240 .
  • Hall , R. E. 1978 . Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence . Journal of Political Economy , 86 : 971 – 987 .
  • Hall , R. E. 1988 . Intertemporal substitution in consumption . Jowrnal of Political Economy , 96 : 339 – 357 .
  • Hamilton , J. 1994 . Time Series Analysis , Princeton , NJ : Princeton University Press .
  • Hansen , L. P. and Singleton , K. J. 1983 . Stochastic consumption, risk aversion and the intertemporal behavior of asset returns . Journal of Political Economy , 91 : 249 – 265 .
  • Jappelli , T. and Pagano , M. 1989 . Consumption and capital market imperfections: An international comparison . American Economic Review , 79 : 1088 – 1105 .
  • Jin , F. 1994 . Consumption, income and liquidity constraints: Evidence for nineteen countries unpublished manuscript
  • Kimball , M. S. 1990 . Precautionary saving in the small and in the large . Econometrica , 58 : 53 – 73 .
  • Ludvigson , S. 1996 . Consumption and credit: A model of timevarying liquidity constraints . Federal Reserve Bank of New York Research Paper , : 96-24
  • Mankiw , N. G. 1981 . The permanent income hypothesis and the real interest rate . Economics Letters , 7 : 307 – 311 .
  • Mankiw , N. G. 1982 . Hall's consumption hypothesis and durable goods . Journal of Monetary Economics , 10 : 417 – 426 .
  • Mankiw , N. G. , Rotemberg , J. J. and Summers , L. H. 1985 . Intertemporal substitution in macroeconomics . Quarterly Journal of Economics , 100 : 225 – 251 .
  • Mankiw , N. G. and Shapiro , M. D. 1985 . Trends, random walks and tests of the permanent income hypothesis . Journal of Monetary Economics , 16 : 165 – 174 .
  • Mankiw , N. G. and Shapiro , M. D. 1986 . Do we reject too often? Small sample properties of tests of rational expectations models . Economics Letters , 20 : 139 – 145 .
  • Nelson , C. R. 1987 . A reappraisal of recent tests of the permanent income hypothesis . Journal of Political Economy , 95 : 641 – 646 .
  • Ogaki , M. 1993 . “ Generalized method of moments: Econometric applications ” . In Handbook of Statistics , Edited by: Maddala , G. S. , Rao , C. R. and Vinod , H. D. vol II , 455 – 488 . Elsevier Science Publishers .
  • Ogaki , M. and Reinhart , C. M. 1998 . Measuring intertemporal substitution: The role of durable goods . Journal of Political Economy , forthcoming
  • Sims , C. A. , Stock , J. H. and Watson , M. W. 1990 . Inference in linear time series models with some unit roots . Econometrica , 58 : 113 – 144 .
  • Stock , J. H. and West , K. D. 1988 . Integrated regressors and tests of the permanent-income hypothesis . Journal of Monetary Economics , 21 : 85 – 95 .
  • Viard , A. D. 1993 . The productivity slowdown and the savings shortfall: A challenge to the permanent-income hypothesis . Economic Inquiry , 31 : 549 – 563 .
  • West , K. D. 1988 . Asymptotic normality, when regressors have a unit root . Econometrica , 56 : 1397 – 1417 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.