SLOW INFORMATION DIFFUSION AND THE INERTIAL BEHAVIOR OF DURABLE CONSUMPTION

• 成果类型: Article
• 署名作者: Luo, Yulei; Nie, Jun; Young, Eric R.
• 署名单位: University of Hong Kong; Federal Reserve System - USA; Federal Reserve Bank - Kansas City; University of Virginia
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12125
• 发表日期: 2015
• 页码: 805-840
• 关键词: permanent-income hypothesis; large numbers; LAW; expectations; explanation; stocks; GOODS; RISK

摘要

This paper studies the aggregate dynamics of durable and nondurable consumption under slow information diffusion (SID) due to noisy observations and learning within the permanent income hypothesis framework. We show that SID can significantly improve the model's predictions on the joint behavior of income, durable consumption, and nondurable consumption at the aggregate level. Specifically, we find that SID can significantly improve the model's predictions for: (i) smoothness in durable and nondurable consumption, (ii) autocorrelation of durable consumption, and (iii) contemporaneous correlation between durable and nondurable consumption.