Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/7041
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: | 2008 |
Editora: | Society for Computational Economics |
Revista: | Studies in Nonlinear Dynamics and Econometrics |
Citação: | 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]. |
Resumo(s): | 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/7041 |
DOI: | 10.2202/1558-3708.1565 |
ISSN: | 1081-1826 |
Versão da editora: | http://web.hec.ca/CEF2007/ |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Comunicações a Conferências |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Alexandre_Bacao_Gabriel_2007_ICCEF.pdf | Documento principal | 194,97 kB | Adobe PDF | Ver/Abrir |