Testing the Predictability of Consumption Growth: Evidence from China

Liping(Sophia) Gao and Hyeongwoo Kim ()

No auwp2016-09, Auburn Economics Working Paper Series from Department of Economics, Auburn University

Abstract: Using time series macroeconomic data, Chow (1985, 2010, 2011) reported indirect empirical evidence that implies the validity of the permanent income hypothesis in China. We revisit this issue by evaluating direct measures of the predictability of consumption growth in China during the post-economic reform regime (1978-2009). We also implement and report similar analysis for the postwar US data for comparison. Our in-sample analysis provides strong evidence against the PIH for both countries. Out-of-sample forecast exercises show that consumption changes are highly predictable, which sharply contrasts the implications of empirical findings by Chow (1985, 2010, 2011).

Keywords: Permanent Income Hypothesis; Consumption; Out-of-Sample Forecast; Diebold-Mariano-West Statistic (search for similar items in EconPapers)
JEL-codes: E21 E27 (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-cna, nep-for, nep-mac, nep-sog and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cla.auburn.edu/econwp/Archives/2016/2016-09.pdf (application/pdf)

Related works:
Journal Article: TESTING THE PREDICTABILITY OF CONSUMPTION GROWTH: EVIDENCE FROM CHINA (2016)
Working Paper: Testing the Predictability of Consumption Growth: Evidence from China (2015)
Working Paper: Testing the Predictability of Consumption Growth: Evidence from China (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abn:wpaper:auwp2016-09

Access Statistics for this paper

More papers in Auburn Economics Working Paper Series from Department of Economics, Auburn University Contact information at EDIRC.
Bibliographic data for series maintained by Hyeongwoo Kim ().