Stochastic implications of the life cycle consumption model under rational habit formation

Carlo C.A. Winder and Franz Palm
Additional contact information
Carlo C.A. Winder: De Nederlandsche Bank N.V.

No 1996043, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: Hall [1978] showed that the life cycle consumption hypothesis implies a first order autoregressive process for the marginal utility of consumption. This paper extends his results by showing that an appropriate pattern of rational habits will lead to an arbitrary autoregressive integrated moving average (ARIMA) process for consumption. Since the framework allows for consumption of durable goods, the analysis ex- tends the results of Mankiw [1982].

JEL-codes: B22 C32 D12 (search for similar items in EconPapers)
Pages: 10
Date: 1996-09-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.jstor.org/stable/40724134 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
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:ctl:louvre:1996043

Access Statistics for this paper

More papers in Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Place Montesquieu 3, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Sebastien SCHILLINGS ().