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Testing the Optimality of Aggregate Consumption Decisions: Is there Rule-of-Thumb Behavior?

Gomes, Fábio Augusto Reis; Issler, João Victor
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
Português
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Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation...

Measuring Persistence on Consumption in Portugal

Belbute, José; Caleiro, António
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
47.78451%
The paper deals with the detection and measurement of the level of persistence on aggregate private consumption in Portugal, USA, European Union and EuroZone as well as on some categories of aggregate consumption in Portugal. By the use of a non-parametric methodology applied to monthly data (1992-2007) it is concluded that aggregate consumption in Europe (both European Union and Euro Zone) is more persistent than in the USA and in Portugal. In particular, the relatively lower degree of persistence shown by the consumption in Portugal can be beneficial for the effectiveness of the countercyclical fiscal and monetary policies that are currently being implemented to overcome the current economic crisis. Our results also suggest that consumption of durables is less persistent, also being more volatile. This result is important in the explanation of the severity of the current economic crisis in Portugal.

Consumption in South America: myopia or liquidity constraints?

Gomes,Fábio Augusto Reis; Paz,Lourenço Senne
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2010 Português
Relevância na Pesquisa
47.187354%
In this paper, we consider Brazil, Colombia, Peru, and Venezuela for a study on aggregate consumption behavior, in which we test the life cycle-permanent income hypothesis prediction that consumption growth depends only on the interest rate. Nevertheless, our results suggest that in general predicted income is a relevant covariate. We checked for some possible reasons behind this result, namely liquidity constraints, myopia and perverse asymmetry. We found support for liquidity constrained consumers in Brazil and Colombia, and perverse asymmetry for Peru. Finally, the results were uninformative about consumption in Venezuela.

Methods of Household Consumption Measurement Through Surveys : Experimental Results from Tanzania

Beegle, Kathleen; De Weerdt, Joachim; Friedman, Jed; Gibson, John
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
47.95842%
Consumption expenditure has long been the preferred measure of household living standards. However, accurate measurement is a challenge and household expenditure surveys vary widely across many dimensions, including the level of reporting, the length of the reference period, and the degree of commodity detail. These variations occur both across countries and also over time within countries. There is little current understanding of the implications of such changes for spatially and temporally consistent measurement of household consumption and poverty. A field experiment in Tanzania tests eight alternative methods to measure household consumption on a sample of 4,000 households. There are significant differences between consumption reported by the benchmark personal diary and other diary and recall formats. Under-reporting is particularly relevant in illiterate households and for urban respondents completing household diaries; recall modules measure lower consumption than a personal diary, with larger gaps among poorer households and households with more adult members. Variations in reporting accuracy by household characteristics are also discussed and differences in measured poverty as a result of survey design are explored. The study concludes with recommendations for methods of survey based consumption measurement in low-income countries.

The Impacts of Cash and In-Kind Transfers on Consumption and Labor Supply : Experimental Evidence from Rural Mexico

Skoufias, Emmanuel; Unar, Mishel; González-Cossío, Teresa
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Português
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47.3759%
The authors use the unique experimental design of the Food Support Program (Programa Apoyo Alimentario) to analyze in-kind and cash transfers in the poor rural areas of southern states of Mexico. They compare the impacts of monthly in-kind and cash transfers of equivalent value (mean share 11.5 percent of pre-program consumption) on household welfare as measured by food and total consumption, adult labor supply, and poverty. The results show that approximately two years later the transfer has a large and positive impact on total and food consumption. There are no differences in the size of the effect of transfer in cash versus transfers in-kind on consumption. The transfer, irrespective of type, does not affect overall participation in labor market activities but induces beneficiary households to switch their labor allocation from agricultural to nonagricultural activities. The analysis finds that the program leads to a significant reduction in poverty. Overall, the findings suggest that the Food Support Program intervention is able to relax the binding liquidity constraints faced by poor agricultural households...

Public Expenditure and Consumption Volatility

Herrera, Santiago; Vincent, Bruno
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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47.388745%
Recent estimates of the welfare cost of consumption volatility find that it is significant in developing nations, where it may reach an equivalent of reducing consumption by 10 percent per year. Hence, examining the determinants of consumption volatility is of utmost relevance. Based on cross-country data for the period 1960-2005, the paper explains consumption volatility using three sets of variables: one refers to the volatility of income and the persistence of income shocks; the second set of variables refers to policy volatility, considering the volatility of public spending and the size of government; while the third set captures the ability of agents to smooth shocks, and includes the depth of the domestic financial markets as well as the degree of integration to international capital markets. To allow for potential endogenous regressors, in particular the volatility of fiscal policy and the size of government, the system is estimated using the instrumental variables method. The results indicate that...

Brazil : Measuring Poverty Using Household Consumption

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
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This report on measuring poverty using household consumption summarizes the work undertaken as part of the Brazil Poverty Measurement Study (BRAPOV) that supported a program of analytical work and technical support via an in-depth assessment of the measurement of poverty and inequality in Brazil. The survey not only presented an opportunity for in-depth analysis, but also for collaboration between the World Bank and partners in Brazil. Emphasis thus was placed also on process as a key input for impact, while at the same time balancing this objective with the need to deliver quality and timely analytical work. Specifically, the analysis in this report builds on earlier studies on the methodologies for constructing consistent poverty profiles and poverty lines (e.g. Bidani and Ravallion, 1994, Ravallion, 1998 and Kakwani, 2003) and on the measurement of poverty in Brazil in order to construct poverty lines for the different regions of Brazil; detailed spatial price indices to capture spatial variation in the cost of living; an updated poverty profile; and micro-area maps of poverty and inequality for Brazil.

Croatia - Living Standards Assessment : Volume 2. Promoting Social Inclusion and Regional Equity

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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The paper describes the main methodological issues underlying the estimation of poverty rates for Croatia. Volume one focuses on the construction of the consumption aggregate as a summary measure of living standards which is the summary measure used to proxy living standards. Special attention is devoted to the estimation of the consumption flow from durable goods. Volume two focuses on the estimation of the (absolute) poverty line. Both elements are at the core of the poverty measurement exercises carried out in two companion papers in this volume. This paper is organized into three sections with the first dealing with the construction of the consumption aggregate. The second section describes the choice of the equivalence scale used to adjust the consumption aggregate for differences in household composition, and the third section details the procedure used to estimate the poverty line.

Adult Mortality and Consumption Growth in the Age of HIV/AIDS

Beegle, Kathleen; De Weerdt, Joachim; Dercon, Stefan
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The authors use a 13-year panel of individuals in Tanzania to assess how adult mortality shocks affect both short and long-run consumption growth of surviving household members. Using unique data which tracks individuals from 1991 to 2004, they examine consumption growth, controlling for a set of initial community, household and individual characteristics. The effect is identified using the sample of households in 2004 which grew out of baseline households. The authors find robust evidence that an affected household will see consumption drop 7 percent within the first five years after the adult death. With high growth in the sample over this time period, this creates a 19 percentage point growth gap with the average household. There is some evidence of persistent effects of these shocks for up to 13 years, but these effects are imprecisely estimated and not significantly different from zero. The impact of female adult death is found to be particularly severe.

Guidelines for Constructing Consumption Aggregates for Welfare Analysis

Deaton, Angus; Zaidi, Salman
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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47.87199%
An analyst using household survey data to construct a welfare metric is often confronted with onfronted with An analyst using household survey data to construct a welfare metric is often confronted with a number of theoretical and practical problems. What components should be included in the overall welfare measure? Should differences in tastes be taken into account when making comparisons across people and households? How best should differences in cost-of-living and household composition be taken into consideration? Starting with a brief review of the theoretical framework underpinning typical welfare analysis undertaken based on household survey data, this paper provides some practical guidelines and advice on how best to tackle such problems. It outlines a three-part procedure for constructing a consumption-based measure of individual welfare: 1) aggregation of different components of household consumption to construct a nominal consumption aggregate; 2) construction of price indices to adjust for differences in prices faced by households; and 3) adjustment of the real consumption aggregate for differneces in household composition. Examples based on survey data fro eight countries--Ghana...

Estimating Poverty in the Absence of Consumption Data : The Case of Liberia

Dabalen, Andrew; Graham, Errol; Himelein, Kristen; Mungai, Rose
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
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47.30714%
In much of the developing world, the demand for high frequency quality household data for poverty monitoring and program design far outstrips the capacity of the statistics bureau to provide such data. In these environments, all available data sources must be leveraged. Most surveys, however, do not collect the detailed consumption data necessary to construct aggregates and poverty lines to measure poverty directly. This paper benefits from a shared listing exercise for two large-scale national household surveys conducted in Liberia in 2007 to explore alternative methodologies to estimate poverty indirectly. The first is an asset-based model that is commonly used in Demographic and Health Surveys. The second is a survey-to-survey imputation that makes use of small area estimation techniques. In addition to a standard base model, separate models are estimated for urban and rural areas and an expanded model that includes climatic variables. Special attention is paid to the inclusion of cell phones, with implications for other assets whose cost and availability may be changing rapidly. The results demonstrate substantial limitations with asset-based indexes...

The Impact of Household Food Consumption Data Collection Methods on Poverty and Inequality Measures in Niger

Backiny-Yetna, Prospere; Steele, Diane; Djima, Ismael Yacoubou
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
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This paper assesses the impact of three methodologies of food data collection on the welfare distribution, and poverty and inequality measures in Niger. The first methodology is a 7-day recall period, the second one is a usual month, and the third one is a 7-day diary. The paper finds that there is a difference in the distribution of welfare between, on the one hand, the two first methodologies (7-day recall and a usual month, which give results close to each other) and, on the other hand, the 7-day diary method. When considering annual per capita consumption, the 7-day diary lags the 7-day recall by 28 percent. This gap is not only at the mean of the distribution, it has been found at any level. These differences lead to differences in poverty and inequality measures even when alternate poverty lines are used. This study underscores the problem that many developing countries face when it comes to monitoring poverty indicators over time where different methodologies have been used over the years.

Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique; Serven, Luis
Fonte: Taylor and Francis Publicador: Taylor and Francis
Tipo: Artigo de Revista Científica
Português
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For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modelled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This article proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting T → ∞ and then letting N → ∞. We evaluate the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, we test weak exogeneity of disposable income and wealth in aggregate consumption.

Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil

Costa,Marcos Gesteira; Carrasco-Gutierrez,Carlos Enrique
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2015 Português
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47.0419%
This paper investigates whether there is a fraction of consumers that do not behave as fully forward-looking optimal consumers in the Brazilian economy. The generalized method of moments technique was applied to nonlinear Euler equations of the consumption-based capital assets model contemplating utility functions with time separability and non-separability. The results show that when the household utility function was modeled as constant relative risk aversion, external habits and Kreps–Porteus, estimates of the fraction of rule-of-thumb households was, respectively, 89%, 78% and 22%. According to this, a portion of disposable income goes to households who consume their current incomes in violation of the permanent income hypothesis.

An Alternative Unifying Measure of Welfare Gains from Risk-Sharing

Auffret, Philippe
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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47.711206%
Following Lucas's (1987) standard approach, welfare gains from international risk-sharing have been measured as the percentage increase in consumption levels that leaves individuals indifferent between, autarky and risk-sharing. The author proposes to measure welfare gains as the increase in consumption growth, instead of consumption levels. When the consumption process is non-stationary, the author's proposed measure has several attractive features: it does not depend on the horizon, and it is robust to alternative specifications of the consumption stochastic processes (from geometric Brownian processes, to Orstein-Ulhenbeck mean-reverting processes), and preferences (from constant relative risk aversion preferences to Kreps-Porteus preferences). The author then uses this measure to estimate potential welfare gains from international risk-sharing for a representative U.S. consumer. The author finds that if international risk-sharing leads only to a complete elimination of aggregate consumption volatility (with no impact on consumption growth)...

Consumption Baskets and Currency Choice in International Borrowing

Bengui, Julien; Nguyen, Ha
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
47.286953%
Most emerging markets do not borrow much internationally in their own currency, although doing that has been argued as an attractive insurance mechanism. This phenomenon, commonly labeled "the original sin", has mostly been interpreted as evidence of the countries' inability to borrow in domestic currency from abroad. This paper provides a novel explanation for that phenomenon: not that countries are unable to borrow abroad in their currency, they might not need to do so. In the model, the small prevalence of external borrowing in domestic currency arises as an equilibrium outcome, despite the absence of exogenous frictions or limits on market participation. The equilibrium outcome is driven by the fact that domestic and foreign lenders have differential consumption baskets. In particular, a large part of domestic lenders' consumption basket is denominated in domestic currency whereas all of foreign lenders' is in dollars. A depreciation of domestic currency, which tends to occur in bad times, is therefore less harmful to domestic savers than to foreign investors. This makes domestic lenders require a lower premium than foreign lenders on domestic currency debt. For plausible calibrations...

Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment

Ventura, Luigi
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
48.156377%
This paper evaluates the degree of consumption insurance enjoyed by Latin American and Caribbean countries, with respect to various reference areas, by estimating a parameter expressing the sensitivity of a country's consumption growth to a measure of idiosyncratic shocks to income. The paper surveys common econometric implementations of "consumption insurance tests." The author proposes some econometric procedures in order to detect the actual presence of international risk sharing, as well as to assess the relative impact of idiosyncratic versus aggregate shocks. The evidence suggests that Latin American and Caribbean economies have been hit by non-diversifiable income shocks, that idiosyncratic risk is relatively more important than aggregate risk, and that some countries in the region appear to enjoy a certain amount of international risk diversification. The paper also identifies some macroeconomic factors that may be responsible for a higher or lower degree of risk pooling (such as international openness...

Essays on aggregate and individual consumption fluctuations

Hwang, Youngjin
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 128 leaves
Português
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38.27556%
This thesis consists of three essays on aggregate and individual consumption fluctuations. Chapter 1 develops a quantitative model to explore aggregate and individual consumption dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The notable element of the model is that a latent regime-switching stochastic variable governs both the trend growth of the aggregate component and the counter-cyclical variances of the idiosyncratic components in individual earnings. I demonstrate that the model can provide a reasonable description of the cyclical behavior of actual consumption fluctuations, and can successfully replicate some key empirical properties of aggregate consumption growth, such as smaller volatility than income growth, greater volatility in recessions than in expansions, and a negatively skewed and leptokurtic distribution, while the typical linear model fails to do so.; (cont.) The model highlights that the interaction between aggregate and idiosyncratic shocks, shifts in the cross-sectional distribution of individual consumers' optimal consumption decisions...

Consumption in South America: myopia or liquidity constraints?

Gomes, Fábio Augusto Reis; Paz, Lourenço Senne
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/06/2010 Português
Relevância na Pesquisa
47.187354%
In this paper, we consider Brazil, Colombia, Peru, and Venezuela for a study on aggregate consumption behavior, in which we test the life cycle-permanent income hypothesis prediction that consumption growth depends only on the interest rate. Nevertheless, our results suggest that in general predicted income is a relevant covariate. We checked for some possible reasons behind this result, namely liquidity constraints, myopia and perverse asymmetry. We found support for liquidity constrained consumers in Brazil and Colombia, and perverse asymmetry for Peru. Finally, the results were uninformative about consumption in Venezuela.

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Bansal, Ravi; Gallant, A. Ronald; Tauchen, George
Fonte: SSRN eLibrary Publicador: SSRN eLibrary
Tipo: Artigo de Revista Científica Formato: 287847 bytes; application/pdf
Publicado em //1999 Português
Relevância na Pesquisa
47.24399%
estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency movements, and time-varying uncertainty in aggregate consumption growth are the key channels for understanding asset prices. In another, as typified by Campbell and Cochrane, habit formation, which generates time-varying risk aversion and consequently time variation in risk premia, is the key channel. These models are fitted to data using simulation estimators. Both models are found to fit the data equally well at conventional significance levels, and they can track quite closely a new measure of realized annual volatility. Further, scrutiny using a rich array of diagnostics suggests that the LRR model is preferred.