Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process

Ermini, Luigi

doi:10.2307/1928106

Cited by 33 publications

(4 citation statements)

References 6 publications

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“…Ermini (1989) shows that if the MA(1) structure is attributable to a discrete-time aggregation of a continuous process, the value of the parameter should be approximately equal to 0.25. On the other hand,Mankiw (1982) shows that change in spending follow an MA(1) process if consumption good is durable.11 For the analysis of the relation between consumer confidence and output, see insteadMatsusaka and Sbordone (1995) and more recentlyUtaka (2003) for the Japanese case.…”

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confidence: 99%

Psychology, consumer sentiment and household expenditures

Malgarini¹,

Margani²

2007

Applied Economics

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The aim of this article is to assess the role of the Italian Consumer Sentiment Index (CSI) as an autonomous driving force of consumption decisions. We test for the presence of 'rule of thumb' consumers as originally proposed by Campbell and Mankiw (1991), using sentiment measures distinguished by respondent's working condition and consumption data disaggregated according to durability, over the period 1982-2004. The consumption-sentiment relationship is found to be stronger for some groups of households and for some particular categories of expenditures. Moreover, sentiment seems to be not well explained by economic fundamentals alone, capturing also the effects of the political cycle and exceptional circumstances.

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confidence: 99%

Psychology, consumer sentiment and household expenditures

Malgarini¹,

Margani²

2007

Applied Economics

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“…Temporal aggregation has also been considered by Christiano, Eichenbaum, and Marshall (1991), Ermini (1989a and b), Grossman, Melino, and Shiller (1987), Heaton (1993), and Longstaff (1989).…”

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confidence: 99%

Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and Equity Return

Lynch¹

1996

The Journal of Finance

119

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This article examines a model in which decisions are made at fixed intervals and are unsynchronized across agents. Agents choose nondurable consumption and portfolio composition, and either or both can be chosen infrequently. A small utility cost is associated with both decisions being made infrequently. Calibrating returns to the U.S. economy, less frequent and unsynchronized decision‐making delivers the low volatility of aggregate consumption growth and its low correlation with equity return found in U.S. data. Allowing portfolio rebalancing to occur every period has a negligible impact on the joint behavior of aggregate consumption and returns.

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“…Furthermore, Hayashi suggests that the theoretical MA parameter induced by quasidifferencing is likely to be small and may not need to be taken into account in estimation. Finally, the MA coefficient may deviate from its theoretical value due to the presence of measurement errors, seasonality and time averaging of data, see Manluw (1982), Ermini (1989) and Campbell and Mankiw (op. cit.).…”

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confidence: 99%

Fiscal Policy and Aggregate Consumption: New Evidence From the United States

Darby

Malley

1996

Scottish J Political Eco

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In this paper we estimate the marginal rate of substitution between aggregate per-capita consumption and per-capita government expenditure on goods and services using US quarterly data over the period 1953 to 1993. This estimate is an important input to any attempt to assess the overall effectiveness of fiscal policy since it directly affects the size of the fiscal policy multiplier. Other recent consumption studies which incorporate the effects of government expenditure have failed to establish a stable estimate of the marginal rate of substitution. We argue that this failure results from imposing the unrealistic assumption that this parameter is constant. In contrast, we allow the marginal rate of substitution to depend on both the level and composition of government spending.

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Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process

Cited by 33 publications

References 6 publications

Psychology, consumer sentiment and household expenditures

Psychology, consumer sentiment and household expenditures

Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and Equity Return

Fiscal Policy and Aggregate Consumption: New Evidence From the United States

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