Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11697
Título: | The consumption-wealth ratio under asymmetric adjustment |
Autor(es): | Gabriel, Vasco J. Alexandre, Fernando Bação, Pedro |
Palavras-chave: | Consumption Financial markets Uncertainty Forecast Markov switching |
Data: | Jul-2007 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Citação: | “NIPE - Working Paper Series”. 15 (2007) 1-29. |
Resumo(s): | This paper argues that nonlinear adjustment may provide a better explanation of °uctuations in the consumption-wealth ratio. The nonlinearity is captured by a Markov-switching vector error-correction model that allows the dynamics of the relationship to di®er across regimes. Estimation of the system suggests that these states are related to the behaviour of ¯nancial markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will forecast either asset returns or consumption growth: the ¯rst when changes in wealth are transitory; the second when changes in wealth are permanent. Our approach uncovers a richer and more complex dynamics in the consumption-wealth ratio than previous results in the literature, whilst being in accordance with theoretical predictions of a simple model of consumption under uncertainty. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/11697 |
Arbitragem científica: | no |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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WP_NIPE_15_2007.pdf | Documento principal | 466,73 kB | Adobe PDF | Ver/Abrir |