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KONSUM, EINKOMMEN UND RATIONALE ERWARTUNGEN: EMPIRISCHE ERGEBNISSE FÜR DIE SCHWEIZ
Author(s) -
Kugler Peter
Publication year - 1982
Publication title -
kyklos
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.766
H-Index - 58
eISSN - 1467-6435
pISSN - 0023-5962
DOI - 10.1111/j.1467-6435.1982.tb01227.x
Subject(s) - bivariate analysis , economics , autoregressive model , univariate , econometrics , stock (firearms) , consumption (sociology) , welfare economics , mathematics , multivariate statistics , statistics , sociology , mechanical engineering , social science , engineering
SUMMARY The life cycle hypothesis of consumption and rational (in the sense of M uth ) expectations implies under certain additional, but not very restrictive, assumptions that real consumption follows an univariate first order autoregressive process. This implication was tested in the framework of bivariate autoregressive models with Swiss quarterly macroeconomic data. A slightly modified variant of the stepwise modelling approach suggested by H siao was applied. The hypothesis was rejected with respect to a ‘Neo‐Ricardian’ definition of disposable income and real stock prices. By contrast, the test with the conventional definition of disposable income brought not significant results. These findings rise some doubts about the usual specification of macroeconometric consumption functions and their policy implications.