Saving and income smoothing: Evidence from panel data
Identifieur interne : 000961 ( Istex/Curation ); précédent : 000960; suivant : 000962Saving and income smoothing: Evidence from panel data
Auteurs : Rob Alessie [Pays-Bas] ; Annamaria Lusardi [États-Unis]Source :
- European Economic Review [ 0014-2921 ] ; 1997.
English descriptors
- Teeft :
- Aggregate data, Alessie, Alternative hypothesis, Alternative test, April, Assets households, Attenuation, Attenuation bias, Basic model, Bias, Bliss level, Bottom panel, Bracket, Brookings papers, Capital income, Coefficient, Consumption measures, Correlation coefficient, Current income, Current savings, Deaton, Diversified portfolio, Dummy, Durable goods, Dutch households, Econometric society, Economic activity, Economic reuiew, Economic review, Economic studies, Empirical estimates, Empirical evidence, Empirical results, Empirical work, Error term, Estimator, Euler, Euler equation, Euler equations, Excess sensitivity, Excess sensitivity model, Family composition, Financial assets, Financial situation, First differences, First measure, First restriction, First savings measure, First stage, First stage regression, First term, Flavin, Free parameters, Future events, Future income, Future income changes, Household characteristics, Household expectations, Household wealth, Households report, Important prediction, Income brackets, Income changes, Income expectations, Income growth, Increase income, Informal tests, Instrument sets, Instrumental variables estimates, Instrumental variables estimation, Intertemporal budget constraint, Labor income, Last column, Last column reports, Liquidity constraints, Lusardi, Macro data, Measurement error, Measurement errors, Micro, Micro data, Models test, More information, Negative relation, Numerical values, October, Orthogonality, Orthogonality condition, Other studies, Overidentifying restrictions, Panel data, Paper tests, Parameter estimates, Permanent income, Permanent income hypothesis, Permanent income model, Political economy, Potential bias, Predictive power, Progress report, Rational income model, Real income, Real interest rate, Regression results, Relative income changes, Relevant coefficients, Restriction, Robust, Robust estimates, Robust estimation, Savings, Savings data, Savings measure, Savings measures, Savings rate, Second measure, Second measures, Second restriction, Second savings measure, Second term, Several ways, Similar results, Simple test, Smooth consumption, Standard attenuation bias, Standard deviations, Standard error, Standard errors, Strong rejection, Subjective data, Subjective information, Subjective variables, Substantial amount, Table reports, Taste shifters, Theoretical instr, Third columns, Third quartile, Tilburg, Tilburg university, Total household income, Total sample, Transitory income, Uncorrelated, Unrealized capital gains, Utility function, Vector autoregression, Wealthy households.
Abstract
Abstract: In this paper we use data from a panel of Dutch households to investigate the behavior of savings. As in Campbell (1987), we examine whether the pattern of savings is consistent with the predictions of the rational expectations-permanent income model. We consider one important prediction of the model: whether savings anticipate future income changes. We test the predictions of the permanent income model in several ways. First we propose some informal tests that exploit directly the information on expected future income changes available in the data. We then perform a test of the model by setting up a vector autoregression (VAR) in terms of savings and income changes and by using Euler equations expressed in terms of savings. The empirical evidence shows that in all the specifications used in this paper, the permanent income model is rejected. Contrary to the evidence from U.S. macro data, we do not find that the ‘excess sensitivity’ of consumption to income is responsible for the rejection of the model.
Url:
DOI: 10.1016/S0014-2921(96)00023-2
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<term>Alessie</term>
<term>Alternative hypothesis</term>
<term>Alternative test</term>
<term>April</term>
<term>Assets households</term>
<term>Attenuation</term>
<term>Attenuation bias</term>
<term>Basic model</term>
<term>Bias</term>
<term>Bliss level</term>
<term>Bottom panel</term>
<term>Bracket</term>
<term>Brookings papers</term>
<term>Capital income</term>
<term>Coefficient</term>
<term>Consumption measures</term>
<term>Correlation coefficient</term>
<term>Current income</term>
<term>Current savings</term>
<term>Deaton</term>
<term>Diversified portfolio</term>
<term>Dummy</term>
<term>Durable goods</term>
<term>Dutch households</term>
<term>Econometric society</term>
<term>Economic activity</term>
<term>Economic reuiew</term>
<term>Economic review</term>
<term>Economic studies</term>
<term>Empirical estimates</term>
<term>Empirical evidence</term>
<term>Empirical results</term>
<term>Empirical work</term>
<term>Error term</term>
<term>Estimator</term>
<term>Euler</term>
<term>Euler equation</term>
<term>Euler equations</term>
<term>Excess sensitivity</term>
<term>Excess sensitivity model</term>
<term>Family composition</term>
<term>Financial assets</term>
<term>Financial situation</term>
<term>First differences</term>
<term>First measure</term>
<term>First restriction</term>
<term>First savings measure</term>
<term>First stage</term>
<term>First stage regression</term>
<term>First term</term>
<term>Flavin</term>
<term>Free parameters</term>
<term>Future events</term>
<term>Future income</term>
<term>Future income changes</term>
<term>Household characteristics</term>
<term>Household expectations</term>
<term>Household wealth</term>
<term>Households report</term>
<term>Important prediction</term>
<term>Income brackets</term>
<term>Income changes</term>
<term>Income expectations</term>
<term>Income growth</term>
<term>Increase income</term>
<term>Informal tests</term>
<term>Instrument sets</term>
<term>Instrumental variables estimates</term>
<term>Instrumental variables estimation</term>
<term>Intertemporal budget constraint</term>
<term>Labor income</term>
<term>Last column</term>
<term>Last column reports</term>
<term>Liquidity constraints</term>
<term>Lusardi</term>
<term>Macro data</term>
<term>Measurement error</term>
<term>Measurement errors</term>
<term>Micro</term>
<term>Micro data</term>
<term>Models test</term>
<term>More information</term>
<term>Negative relation</term>
<term>Numerical values</term>
<term>October</term>
<term>Orthogonality</term>
<term>Orthogonality condition</term>
<term>Other studies</term>
<term>Overidentifying restrictions</term>
<term>Panel data</term>
<term>Paper tests</term>
<term>Parameter estimates</term>
<term>Permanent income</term>
<term>Permanent income hypothesis</term>
<term>Permanent income model</term>
<term>Political economy</term>
<term>Potential bias</term>
<term>Predictive power</term>
<term>Progress report</term>
<term>Rational income model</term>
<term>Real income</term>
<term>Real interest rate</term>
<term>Regression results</term>
<term>Relative income changes</term>
<term>Relevant coefficients</term>
<term>Restriction</term>
<term>Robust</term>
<term>Robust estimates</term>
<term>Robust estimation</term>
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<term>Savings data</term>
<term>Savings measure</term>
<term>Savings measures</term>
<term>Savings rate</term>
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<term>Second measures</term>
<term>Second restriction</term>
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<term>Second term</term>
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<term>Similar results</term>
<term>Simple test</term>
<term>Smooth consumption</term>
<term>Standard attenuation bias</term>
<term>Standard deviations</term>
<term>Standard error</term>
<term>Standard errors</term>
<term>Strong rejection</term>
<term>Subjective data</term>
<term>Subjective information</term>
<term>Subjective variables</term>
<term>Substantial amount</term>
<term>Table reports</term>
<term>Taste shifters</term>
<term>Theoretical instr</term>
<term>Third columns</term>
<term>Third quartile</term>
<term>Tilburg</term>
<term>Tilburg university</term>
<term>Total household income</term>
<term>Total sample</term>
<term>Transitory income</term>
<term>Uncorrelated</term>
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<term>Utility function</term>
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<front><div type="abstract" xml:lang="en">Abstract: In this paper we use data from a panel of Dutch households to investigate the behavior of savings. As in Campbell (1987), we examine whether the pattern of savings is consistent with the predictions of the rational expectations-permanent income model. We consider one important prediction of the model: whether savings anticipate future income changes. We test the predictions of the permanent income model in several ways. First we propose some informal tests that exploit directly the information on expected future income changes available in the data. We then perform a test of the model by setting up a vector autoregression (VAR) in terms of savings and income changes and by using Euler equations expressed in terms of savings. The empirical evidence shows that in all the specifications used in this paper, the permanent income model is rejected. Contrary to the evidence from U.S. macro data, we do not find that the ‘excess sensitivity’ of consumption to income is responsible for the rejection of the model.</div>
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