The consumption-wealth ratio under asymmetric adjustment
Autor(a) principal: | |
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Data de Publicação: | 2008 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/7041 |
Resumo: | This paper argues that nonlinear adjustment may provide a better explanation of fluctuations 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 differ across regimes. Estimation of the system suggests that these states are related to the behaviour of financial 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 first 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 standard models of consumption under uncertainty. |
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The consumption-wealth ratio under asymmetric adjustmentConsumptionFinancial marketsUncertaintyForecastMarkov switchingSocial SciencesThis paper argues that nonlinear adjustment may provide a better explanation of fluctuations 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 differ across regimes. Estimation of the system suggests that these states are related to the behaviour of financial 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 first 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 standard models of consumption under uncertainty.Fundação para a Ciência e a Tecnologia (FCT) - grant POCI/EGE/56054/2004 (partially funded by FEDER).Society for Computational EconomicsUniversidade do MinhoGabriel, Vasco J.Alexandre, FernandoBação, Pedro20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/7041engINTERNATIONAL CONFERENCE ON COMPUTING IN ECONOMICS AND FINANCE (CEF 2007), 13, Montreal, Canadá, 2007 – “International Conference on Computing in Economics and Finance : proceedings”. [S.l.] : Society for Computational Economics, [2008].1081-182610.2202/1558-3708.1565http://web.hec.ca/CEF2007/info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:40:54Zoai:repositorium.sdum.uminho.pt:1822/7041Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:37:46.811209Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The consumption-wealth ratio under asymmetric adjustment |
title |
The consumption-wealth ratio under asymmetric adjustment |
spellingShingle |
The consumption-wealth ratio under asymmetric adjustment Gabriel, Vasco J. Consumption Financial markets Uncertainty Forecast Markov switching Social Sciences |
title_short |
The consumption-wealth ratio under asymmetric adjustment |
title_full |
The consumption-wealth ratio under asymmetric adjustment |
title_fullStr |
The consumption-wealth ratio under asymmetric adjustment |
title_full_unstemmed |
The consumption-wealth ratio under asymmetric adjustment |
title_sort |
The consumption-wealth ratio under asymmetric adjustment |
author |
Gabriel, Vasco J. |
author_facet |
Gabriel, Vasco J. Alexandre, Fernando Bação, Pedro |
author_role |
author |
author2 |
Alexandre, Fernando Bação, Pedro |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Gabriel, Vasco J. Alexandre, Fernando Bação, Pedro |
dc.subject.por.fl_str_mv |
Consumption Financial markets Uncertainty Forecast Markov switching Social Sciences |
topic |
Consumption Financial markets Uncertainty Forecast Markov switching Social Sciences |
description |
This paper argues that nonlinear adjustment may provide a better explanation of fluctuations 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 differ across regimes. Estimation of the system suggests that these states are related to the behaviour of financial 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 first 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 standard models of consumption under uncertainty. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008 2008-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/1822/7041 |
url |
http://hdl.handle.net/1822/7041 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
INTERNATIONAL CONFERENCE ON COMPUTING IN ECONOMICS AND FINANCE (CEF 2007), 13, Montreal, Canadá, 2007 – “International Conference on Computing in Economics and Finance : proceedings”. [S.l.] : Society for Computational Economics, [2008]. 1081-1826 10.2202/1558-3708.1565 http://web.hec.ca/CEF2007/ |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Society for Computational Economics |
publisher.none.fl_str_mv |
Society for Computational Economics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132912762748928 |