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Peter Romilly - One of the best experts on this subject based on the ideXlab platform.

  • a time varying parameter approach to the chinese Aggregate Consumption Function
    Economics of Planning, 1996
    Co-Authors: Haiyan Song, Xiaming Liu, Peter Romilly
    Abstract:

    China experienced a number of economic, political and social upheavals in the pre-reform period, together with a gradual transformation from a centrally-planned to a market oriented economy in the post-reform period. Given this background of extensive change, a time varying parameter (TVP) Consumption model for non-durables is developed in order to determine the resulting changes in consumer behavior caused by both observable and unobservable factors. The parameters of interest are the short and long run marginal propensities to consume (MPC) and the long run average propensity to consume (APC). The model is based on Friedman's permanent income hypothesis (PIH) and estimated using the Kalman filter algorithm. The empirical results suggest that the TVP model is a good representation of the changes in Chinese consumer behavior over time. In terms of forecasting, the TVP model generally outperforms a number of alternative models. Copyright 1996 by Kluwer Academic Publishers

  • A time varying parameter approach to the Chinese Aggregate Consumption Function
    Economics of Planning, 1996
    Co-Authors: Haiyan Song, Xiaming Liu, Peter Romilly
    Abstract:

    China experienced a number of economic, political and social upheavals in the pre-reform period, together with a gradual transformation from a centrally-planned to a market oriented economy in the post-reform period. Given this background of extensive change, a time varying parameter (TVP) Consumption model for non-durables is developed in order to determine the resulting changes in consumer behaviour caused by both observable and unobservable factors. The parameters of interest are the short and long run marginal propensities to consume (MPC) and the long run average propensity to consume (APC). The model is based on Friedman's permanent income hypothesis (PIH) and estimated using the Kalman filter algorithm. The empirical results suggest that the TVP model is a good representation of the changes in Chinese consumer behaviour over time. In terms of forecasting, the TVP model generally outperforms a number of alternative models.

Bharat Barot - One of the best experts on this subject based on the ideXlab platform.

Pölder Robert - One of the best experts on this subject based on the ideXlab platform.

  • An Investigation of the Swedish Consumption Function : An Error-Correction Approach
    Linnéuniversitetet Institutionen för nationalekonomi och statistik (NS), 2017
    Co-Authors: Pölder Robert
    Abstract:

    This thesis examines the Swedish Aggregate Consumption Function using the concept of cointegration, and explores whether Consumption, income, financial wealth, and housing wealth share a long-run trend. The goal of the study was to determine the strength of this cointegrating relationship, the relative roles of housing wealth and financial wealth in the Consumption Function, and a suitable method for forecasting Consumption. The strength of the cointegrating relationship, incorporated in a vector error-correction model (VECM), is evaluated by that model’s forecasts. Its forecasting performance is assessed via accuracy tests and comparisons to alternative models. The study also examines the effect of allowing for intercept correction in the VECM’s forecasts. The preferred VECM demonstrates that Consumption is the variable that error corrects to restore the long-run relationship after a disequilibrium, with a correction time of less than three quarters. The results indicate the vital role of financial wealth in the Consumption Function, while revealing that housing wealth has no significant effect on Consumption in either the long run or in the short run. When it comes to forecasting, the alternative, data-driven Bayesian vector autoregressive model generated relatively accurate short-run forecasts, while the theory-driven VECM generated relatively accurate long-run predictions. Moreover, the results further indicated the existence of the cointegrating relationship as the VECM outperformed the vector autoregressive model at both long horizon and short horizon forecasts. Additionally, intercept correction slightly improved short-run, but not long-run, forecasts, giving no indication of a misspecified VECM, or a significant structural shift during the forecast period, 2010-2015. 

Akira Sadahiro - One of the best experts on this subject based on the ideXlab platform.

  • testing for money illusion hypothesis in Aggregate Consumption Function mixed data sampling approach
    2015
    Co-Authors: Kaiji Motegi, Akira Sadahiro
    Abstract:

    Testing for the money illusion hypothesis in Aggregate Consumption Function generally involves a regression model that projects real Consumption onto nominal income and a consumer price index. While Consumption and income data are typically sampled at a quarterly level, price data are often available at a monthly level. This paper takes advantage of mixed data sampling (MIDAS) techniques in order to exploit monthly price data. We show via local power analysis and Monte Carlo simulations that our approach yields deeper economic insights and higher statistical precision than the previous single-frequency approach that Aggregates price data into a quarterly level. In particular, the MIDAS approach allows for heterogeneous effects of monthly prices on real Consumption within each quarter. In empirical applications we find that the heterogeneous effects indeed exist in Japan and the U.S.

Antonella Rancan - One of the best experts on this subject based on the ideXlab platform.

  • the italian debate on the Aggregate Consumption Function the life cycle hypothesis versus kaldor s theory 1960s 1970s
    Social Science Research Network, 2016
    Co-Authors: Antonella Rancan
    Abstract:

    This paper discusses the difficult acceptance of Modigliani’s LCH in Italy over the 60s and 70s and explains it by the economic and intellectual context. In particular, the paper examines connections between the LCH model and the Kaldorian Consumption Functions, its main competing theory in the explanation of economic growth, and the indirect involvement of Modigliani’s saving theory in the larger dispute on the capital theory. The strong influence that the Anglo-Italian school of thought exercised in the Italian theoretical and political debate in the 1960s and early 70s certainly contributed to prevent the acceptance of Modigliani’s LCH.