[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/ecmode/v35y2013icp477-480.html
   My bibliography  Save this article

Nonlinear adjustment to the mean reversion of consumption–income ratio

Author

Listed:
  • Elmi, Zahra (Mila)
  • Ranjbar, Omid
Abstract
This study utilizes a flexible Fourier stationary test, proposed by Becker et al. (2006) to investigate the mean reversion of consumption–income ratio in 16 OECD countries from 1960 to 2010. Empirical results from our flexible nonlinear stationary test show that the mean reversion hypothesis is not rejected for 12 of the 16 OECD countries.

Suggested Citation

  • Elmi, Zahra (Mila) & Ranjbar, Omid, 2013. "Nonlinear adjustment to the mean reversion of consumption–income ratio," Economic Modelling, Elsevier, vol. 35(C), pages 477-480.
    • Handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:477-480
    DOI: 10.1016/j.econmod.2013.07.037
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S026499931300312X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econmod.2013.07.037?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-1248, September.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6, National Bureau of Economic Research, Inc.
    4. Modigliani, Franco, 1986. "Life Cycle, Individual Thrift, and the Wealth of Nations," American Economic Review, American Economic Association, vol. 76(3), pages 297-313, June.
    5. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Business School - Economics, University of Glasgow.
    6. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1.
    7. Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 381-409, May.
    8. Romero-Ávila, Diego, 2009. "Are OECD consumption-income ratios stationary after all?," Economic Modelling, Elsevier, vol. 26(1), pages 107-117, January.
    9. Cook, Steven, 2005. "The stationarity of consumption-income ratios: Evidence from minimum LM unit root testing," Economics Letters, Elsevier, vol. 89(1), pages 55-60, October.
    10. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.
    2. Sakiru Adebola Solarin & Muhammad Shahbaz & Chris Stewart, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Applied Economics, Taylor & Francis Journals, vol. 50(38), pages 4122-4136, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sakiru Adebola Solarin & Muhammad Shahbaz & Chris Stewart, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Applied Economics, Taylor & Francis Journals, vol. 50(38), pages 4122-4136, August.
    2. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.
    3. Mario Cerrato & Christian De Peretti & Chris Stewart, 2013. "Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non-Linear Panel Unit Root Tests For Oecd And Non-Oecd Countries," Manchester School, University of Manchester, vol. 81(1), pages 102-120, January.
    4. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
    5. Tuomas, Malinen, 2011. "Inequality and savings: a reassesment of the relationship in cointegrated panels," MPRA Paper 33350, University Library of Munich, Germany.
    6. Ntebogang Dinah Moroke, 2014. "Household Debts-and Macroeconomic factors Nexus in the United States: A Cointegration and Vector Error Correction Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 6(6), pages 452-465.
    7. Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
    8. repec:nbp:nbpbik:v:43:y:2012:i:5:p:5-20 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-411 is not listed on IDEAS
    10. Kwack, Sung Yeung & Lee, Young Sun, 2005. "What determines saving rates in Korea?: The role of demography," Journal of Asian Economics, Elsevier, vol. 16(5), pages 861-873, October.
    11. Attanasio, Orazio P., 1995. "The intertemporal allocation of consumption: theory and evidence," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 39-56, June.
    12. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Business School - Economics, University of Glasgow.
    13. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
    14. Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
    15. Bokana K.G & Kabongo W.N.S, 2018. "Modelling Real Private Consumption Expenditure in South Africa to Test the Absolute Income Hypothesis," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 138-155.
    16. Howard Bodenhorn, 2019. "Were Nineteenth‐Century Industrial Workers Permanent Income Savers?," Southern Economic Journal, John Wiley & Sons, vol. 85(4), pages 1286-1310, April.
    17. Pål Boug & Ådne Cappelen & Eilev S. Jansen & Anders Rygh Swensen, 2021. "The Consumption Euler Equation or the Keynesian Consumption Function?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 252-272, February.
    18. Shahbaz, Muhammad & Nawaz, Kishwar & Arouri, Mohamed & Teulon, Frédéric & Uddin, Gazi Salah, 2013. "On the validity of the Keynesian Absolute Income hypothesis in Pakistan: An ARDL bounds testing approach," Economic Modelling, Elsevier, vol. 35(C), pages 290-296.
    19. Tuomas Malinen, 2011. "Income Inequality and Savings: A Reassessment of the Relationship in Cointegrated Panels," DEGIT Conference Papers c016_076, DEGIT, Dynamics, Economic Growth, and International Trade.
    20. Shahbaz, Muhammad & Nawaz, Kishwer & AROURI, Mohamed El Hedi & Teulon, Frédéric, 2013. "Does The Keynesian Absolute Income Hypothesis Exist in Pakistan?," MPRA Paper 47923, University Library of Munich, Germany, revised 01 Jul 2013.
    21. Katarzyna Leszkiewicz Kędzior & Władysław Welfe, 2012. "Consumption function for Poland. Is life cycle hypothesis legitimate?," Bank i Kredyt, Narodowy Bank Polski, vol. 43(5).
    22. Mr. Christopher Carroll & Mr. Martin Sommer & Mr. Jiri Slacalek, 2012. "Dissecting Saving Dynamics: Measuring Wealth, Precautionary, and Credit Effects," IMF Working Papers 2012/219, International Monetary Fund.

    More about this item

    Keywords

    Consumption–income ratio; Mean reversion; Fourier stationary test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:477-480. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30411 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.