Tendances et cycles communs à la consommation et au revenu: implications pour le modèle de revenu permanent

Thomas Jobert
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Thomas Jobert: MAD - Université Paris 1

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: The Engle and Kozicki formulation of cofeatures, allows in a multivariate version of the Beveridge-Nelson decomposition a representation in common trends-common cycles. We examine the common trends-common cycles structure implied by Hall's permanent income model and Flavin's excess sensitivity model for consumption and disposable income. With a VECM, we propose a procedure to estimate the cofeature vector and a test for the existence of cofeature is developped. Empirically, in France and in the United States, consumption exhibits excess sensitivity to income, but the parameter restrictions imposed by the excess sensitivity on the bivariate autoregression model are rejected

Pages: 34 pages
Date: 1994-05
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Published in Économie & prévision, 1995, 121, pp. 19-38

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https://www.persee.fr/doc/ecop_0249-4744_1995_num_121_5_5756

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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:94011

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