PIH and ROT alternative in view of the intertemporal non-separability of preferences: empirical findings from a Japanese panel data

Yoshitsugu Kitazawa and Makoto Ohta
Additional contact information
Makoto Ohta: Waseda Graduate School of Finance, Accounting and Law

No 25, Discussion Papers from Kyushu Sangyo University, Faculty of Economics

Abstract: This paper describes an empirical investigation into the permanent income hypothesis (PIH) and the rule-of-thumb (ROT) alternative hypothesis, both of which allow for the intertemporal non-separability of preferences in the sense that past consumption of the PIH consumers has influence on their current utility. The data used in this study is a Japanese aggregate panel data processed with the Family Income and Expenditure Survey (FIES) for the period 1981-2002, and the GMM estimations for the panel data are carried out for spans within the period. The results demonstrate that the PIH holds for the bubble span 1988-1993 and the serious deflation span 1997-2002, while the ROT alternative holds for the post-bubble depression span 1993-1998.

Keywords: Permanent income hypothesis; Rule-of-thumb alternative hypothesis; Intertemporal non-separability of preferences; Panel data; Generalized method of moments (search for similar items in EconPapers)
JEL-codes: C23 E21 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2005-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp25.pdf First version, 2005 (application/pdf)

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:kyu:dpaper:25

Access Statistics for this paper

More papers in Discussion Papers from Kyushu Sangyo University, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Yoshitsugu Kitazawa ().