К вопросу о долгосрочной взаимосвязи реального потребления домохозяйств с реальным доходом в РФ

A note on cointegration relationship between real consumption and real income in Russia

Andrey Polbin and Nikita Fokin

MPRA Paper from University Library of Munich, Germany

Abstract: The paper is devoted to testing for existence of a long run relationship between consumption and income in Russia. We couldn’t find cointegration between consumption of households and GDP in constant prices. But statistical tests are in favor of cointegration between consumption in constant prices and real income which we define as a ratio of nominal GDP to implicit deflator for consumption. We also estimated a VECM model for real consumption and real income. Our results show high predictability of consumption growth by the error correction mechanism.

Keywords: Consumption; consumption forecasting; GDP; real income; VECM; cointegration; permanent income hypothesis; ARIMA (search for similar items in EconPapers)
JEL-codes: E21 E27 (search for similar items in EconPapers)
Date: 2017-09, Revised 2017-11
New Economics Papers: this item is included in nep-cis, nep-mac and nep-tra
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Published in Russia Economic Development 10.24(2017): pp. 6-16

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:82451

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