World Economic Papers October, 2012 * Zeldes 1989 Shea 1995 Drakos Campbell and Mankiw 1989 LC-PIH 2007 Deng and Jin 2008 λ

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1 World Economic Papers October, 2012 * Zeldes 1989 Shea 1995 Drakos Campbell and Mankiw 1989 LC-PIH 2007 Deng and Jin 2008 λ * bankii@ 126. com Faculty of BusinessBrock UniversityCanada Sheng. Deng@ brocku. ca

2 ΔlnC t = ΔlnC 1t + ΔlnC 2t 1 1 C t C 1t C 2t t 1 2 ΔC t = ΔC 1t + ΔC 2t 2 2 Hall 1978 Max [ E t T-t 1 + π -m U C t +m ] 3 m = 0 s. t. W t + m = 1 + r t + m W t + m Y t + m - C t + m 4 C t + m 0 W T 0 m = 0 1 T - t E t t π > 0 T U - C t r t W t Y t t Zeldes 1989 U C t = C 1 - β t / 1 - β 5 β > 0 CRRA 5 t t π - t C - β t 1 Δc t = Δc 1t + Δc 2t c t = lnc t

3 π - t - 1 C - β t - 1 r t 1 + π - t - 1 C - β t - 1 = 1 + π - t 1 + r t C - β t C t /C t - 1 = 1 + r t 1 /β 1 + π - 1 /β C t = C t β - 1 r t 1 + π - 1 /β Campbell and Mankiw C t = α 1 + α 2 Y t α 1 α ΔC t = α 2 ΔY t 10 t C 1t C 2t t C t C 1t C 2t ΔC t = ΔC 1t + ΔC 2t 2 λ ΔC t = 1 - λ 1 + π - 1 /β ΔC t β - 1 r t + λα 2 ΔY t Δc t = α 2 λδy t λ 1 + π - 1 /β Δ c t β - 1 r t 12 c t y t t ψ t x j t Δc t = k 0 + k 1 Δy t + k 2 Δ c t β - 1 r t + k 3 ψ t + k 4 x j t + u t 13 k 1 = α 2 λk 2 = 1 - λ 1 + π - 1 /β k 0 k 3 k 4 u t y t Shea 1995 Darkos

4 H-P 2009 CF Aizenman and Pinto 2004 Shea 1995 Darkos 2002 Δy t - 1 Δy t λ 1 λ 2 Δy t Δy t - 1 Δy t 0 λ 1 = 1 λ 2 = 0 = 0 λ 2 = 1 λ 2a λ 2b Δy t < Δy t - 1 Δy t < 0 λ 2b = 1 λ 2a = 0 λ 2a = 1 λ 2b = 0 13 Δc it = γδy it + k # Δ c i t β - 1 r it + k ψ ψ it + k x x j it + ξ i + μ it 14 Δc it = γ 1 λ 1 Δy it + γ 2 λ 2 Δy it + k # Δ c i t β - 1 r it + k ψ ψ it + k x x j it + ξ i + μ it 15 Δc it = γ 1 λ 1 Δy it + γ 2a λ 2a Δy it + γ 2b λ 2b Δy it + k # Δ c i t β - 1 r it + k ψ ψ it + k x x j it + ξ i + μ it λ 1 16 c it y it ψ it c i t - 1 r it x j it ξ i μ it i t β β 1 5 Carroll β = 2 β = β Deaton CF c it = b 1 y it + b 2 c i t β - 1 r it + b 3 x j it + b 0 + μ it b 1 b 2 b 3 b 0 ψ it Ram 1982 Kraay

5 x j it Δc Δy R 5. 74% 3. 01% % 1. 98% cpi 6. 35% 6. 13% 7. 14% 7. 28% % % % % ψ x ctv rev uev % % % Δy 2008 Δc 2007

6 AR 1 Z it = ρ i Z i t W it φ i + μ it W it i = 1 2 N t = 1 2 T i N T i i ρ i μ it 2009 Maddala and Wu 1999 Johansen 2 3 EViews Δc it Δy it Δ c i t β - 1 r it ψ it x j it 2 p p LLC Breitung Im-Pesaran-Shin Fisher-ADF Fisher-PP LLC Breitung Im-Pesaran-Shin Fisher-ADF Fisher-PP s s = 0 s 1 s 2 s = 0 s 1 s 2 s 3 Fisher P Fisher λ-max P

7 System GMM Arellano and Bover 1995 Blundell and Bond GMM Roodman 2006 Islam GMM β = 2 7 β Wald Sargan AR 2 c i t β - 1 r it log ω ω = 1 ω = 0 Δy ω Kahneman et al loss aversion

8 γ 1 = γ 2 = 0 γ 1 = γ 2 γ 1 > 0 γ 2 > 0 γ 1 > γ 2 γ 1 > 0 γ 2a = γ 2b γ 2a = - γ 2b 1 γ 1 < γ 2 γ 1 > 0 k ψ < β = log 15 γ 0. 72a γ a a a a a a a γ a a a a a γ 2a a a γ 2b a a k ψ b b b c k # k ctv a a a a k rev c b a wald p Sargan P γ 1 = γ 2 p γ 2a = - γ 2b p AR 1 p AR 2 p stata a b c

9 β = log 15 γ a γ a a a a a a γ a a a a γ 2a a a γ 2b k ψ b a a a b k # b b k ctv b a a b k uev b wald p Sargan P γ 1 = γ 2 p AR 1 p AR 2 p β β β = 4 β = 8 β = 4 β = γ a a a a a a a a γ a a a a γ 2a a a a a 0. 07

10 β β = 4 β = 8 β = 4 β = γ 2b a a k ψ b b b b a a a a k # c b k ctv a a a a a a a a k uev b b wald p Sargan P γ 1 = γ 2 p γ 2a = - γ 2b p AR 1 p AR 2 p =

11 Δ c i t β - 1 r it

12 Aizenman J. and B. Pinto2004 Managing Volatility and Crises A Practitioner's Guide NBER Working Paper No ArellanoM. and O. Bover1995 Another Look at the Instrumental Variable Estimation of Error-Component Models Journal of Econometrics BlundellR. and S. Bond1998 Initial Conditions and Moment Restrictions in Dynamic Panel Data Models Journal of Econometrics CampbellJ. Y. and N. G. Mankiw 1989 Consumption Income and Interest Rates Reinterpreting the Time Series Evidence NBER Working PaperNo CarrollC. D.2001 A Theory of the Consumption FunctionWith and Without Liquidity Constraints Expanded Version NBER Working PaperNo DeatonA.1992Understanding ConsumptionPublished by Oxford University Press. DengS. and X. Jin 2008 Excess Sensitivity of Consumption An Empirical Analysis of Urban Residents in China International Journal of Emerging Markets DrakosK MyopiaLiquidity Constraintsand Aggregate Consumption The Case of Greece Journal of Economic Development HallR.1978 Stochastic Implications of the Life Cycle-Permanent Income Hypothesis Theory and Evidence Journal of Political Economy IslamN.1995 Growth Empirics A Panel Data Approach Quarterly Journal of Economics KahnemanD.J. Knetsch and H. Richard1991 Anomalies The Endowment EffectLoss Aversionand Status Quo Bias Journal of Economic Perspective KraayA.2000 Household Saving in China World Bank Economic Review MaddalaG. S. and S. Wu1999 A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test Oxford Bulletin of Economics and Statistics RamR Dependency Rates and Aggregate Savings A New International Cross-Section Study American Economic Review RoodmanD.2006 How to Do Xtabond2 An Introduction to Difference and System GMM in Stata Working Paper No. 103Center for Global DevelopmentWashingtonD. C. SheaJ.1995 MyopiaLiquidity Constraintsand Aggregate Consumption A Simple Test Journal of MoneyCredit and Banking ZeldesS.1989 Consumption and Liquidity Constraints An Empirical Investigation Journal of Political Economy

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DID 13. 0% 20. 2% 12. 6% 30 1 Leland 1968 Zeldes 1989 Zeldes 1989 Carroll Skinner 1987 Zhang & Wan

DID 13. 0% 20. 2% 12. 6% 30 1 Leland 1968 Zeldes 1989 Zeldes 1989 Carroll Skinner 1987 Zhang & Wan 2012 7! 2007 2008 13. 0% 20. 2% 12. 6% 2008 1 1990 2007 2010 2000 2007 20% 25% 2007 2010 80 1999 2007 2008 1 1999 2007 * 610074 zangwenbin@ gmail. com 100871 ggliu@ unc. edu 100871 xufei0505@ hotmail.