`Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit

Detalhes bibliográficos
Autor(a) principal: Endo, Marcos
Data de Publicação: 2023
Outros Autores: Gomes, Fabrio
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/85603
Resumo: This paper examines the predictability of the Brazilian aggregate consumption growth, taking into account four factors: expected returns on assets (intertemporal substitution); anticipated growth rates in both income and credit (rule-of-thumb behavior and liquidity constraints); lagged consumption growth rate (habit formation). To accomplish such task, we investigate the presence of weak instruments, and apply suitable econometric tools to handle it. The findings suggest that estimations are plagued by weak instruments, and the point estimates suggest that growth rates in income and credit are relevant predictability factors. Finally, valid (robust) confidence intervals suggest that income growth rate and/or credit growth rate have significant predictive power for the Brazilian growth rate in consumption.
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spelling `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and creditPrevisibilidade do consumoInstrumentos fracosRestrições a liquidezPrevisibilidade do consumoInstrumentos fracosRestrições a liquidezThis paper examines the predictability of the Brazilian aggregate consumption growth, taking into account four factors: expected returns on assets (intertemporal substitution); anticipated growth rates in both income and credit (rule-of-thumb behavior and liquidity constraints); lagged consumption growth rate (habit formation). To accomplish such task, we investigate the presence of weak instruments, and apply suitable econometric tools to handle it. The findings suggest that estimations are plagued by weak instruments, and the point estimates suggest that growth rates in income and credit are relevant predictability factors. Finally, valid (robust) confidence intervals suggest that income growth rate and/or credit growth rate have significant predictive power for the Brazilian growth rate in consumption.Este artigo examina a previsibilidade da taxa de crescimento do consumo agregado brasileiro, levando em consideração 4 fatores: o retorno esperado dos ativos (substituição intertemporal); as taxas de crescimento antecipadas da renda e do crédito (comportamento ``rule-of-thumb'' e restrições a liquidez); a defasagem da taxa de crescimento do consumo (formação de hábito). Para realizar essa tarefa, nós investigamos a presença de instrumentos fracos e utilizamos ferramentas econométricas adequadas para lidar com este problema. Os resultados sugerem que o problema de instrumento fracos está presente e as estimativas pontuais sugerem que as taxas de crescimento da renda e do crédito são fatores relevantes para a previsibilidade do consumo. Por fim, intervalos de confiança robustos sugerem que a taxa de crescimento da renda e/ou crédito tem poder preditivo relevante para a taxa de cresimento do consumo agregado brasileiro.EGV EPGE2023-12-14info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlestextoArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/85603Revista Brasileira de Economia; Vol. 77 No. 4 (2023): OUT -DEZRevista Brasileira de Economia; v. 77 n. 4 (2023): OUT -DEZ1806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/85603/85031BrasilCopyright (c) 2023 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessEndo, MarcosGomes, Fabrio2023-12-19T17:34:46Zoai:ojs.periodicos.fgv.br:article/85603Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:54.256647Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
title `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
spellingShingle `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
Endo, Marcos
Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
title_short `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
title_full `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
title_fullStr `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
title_full_unstemmed `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
title_sort `Predictability of the Brazilian consumption growth: the relevance of anticipated growth rates in income and credit
author Endo, Marcos
author_facet Endo, Marcos
Gomes, Fabrio
author_role author
author2 Gomes, Fabrio
author2_role author
dc.contributor.author.fl_str_mv Endo, Marcos
Gomes, Fabrio
dc.subject.por.fl_str_mv Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
topic Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
Previsibilidade do consumo
Instrumentos fracos
Restrições a liquidez
description This paper examines the predictability of the Brazilian aggregate consumption growth, taking into account four factors: expected returns on assets (intertemporal substitution); anticipated growth rates in both income and credit (rule-of-thumb behavior and liquidity constraints); lagged consumption growth rate (habit formation). To accomplish such task, we investigate the presence of weak instruments, and apply suitable econometric tools to handle it. The findings suggest that estimations are plagued by weak instruments, and the point estimates suggest that growth rates in income and credit are relevant predictability factors. Finally, valid (robust) confidence intervals suggest that income growth rate and/or credit growth rate have significant predictive power for the Brazilian growth rate in consumption.
publishDate 2023
dc.date.none.fl_str_mv 2023-12-14
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
texto
Artigos
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/85603
url https://periodicos.fgv.br/rbe/article/view/85603
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/85603/85031
dc.rights.driver.fl_str_mv Copyright (c) 2023 Revista Brasileira de Economia
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2023 Revista Brasileira de Economia
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.coverage.none.fl_str_mv Brasil
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 77 No. 4 (2023): OUT -DEZ
Revista Brasileira de Economia; v. 77 n. 4 (2023): OUT -DEZ
1806-9134
0034-7140
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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