Journal of Money, Credit, and Banking
Опубликовано на портале: 22-10-2007John Shea Journal of Money, Credit, and Banking. 1997. Vol. 27. No. 3. P. 798-805.
This note conducts a simple test for myopia and liquidity constraints in aggregate U.S. consumption. The test exploits the fact that, under myopia, consumption should be equally sensitive to predictable income declines and increases, while under liquidity constraints consumption should be more sensitive to predictable income increases than to declines. Using quarterly postwar data, the author shows that aggregate consumption is in fact more sensitive to predictable income declines than increases. This 'perverse asymmetry' is inconsistent with both myopia and liquidity constraints but is qualitatively consistent with recent theoretical work incorporating loss aversion into intertemporal preferences
Опубликовано на портале: 13-04-2004Robert J. Hodrick, Edward C. Prescott Journal of Money, Credit, and Banking. 1997. Vol. 29. No. 1. P. 1-16.
A study documents some features of aggregate economic fluctuations sometimes referred to as business cycles. The investigation uses quarterly data from the postwar US economy. The fluctuations studied are those that are too rapid to be accounted for by slowly changing demographic and technological factors and changes in the stocks of capital that produce secular growth in output per capita. The study proposes a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component. The nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented. It is found that these comovements are very different than the corresponding comovements of the slowly varying trend components.