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Autor:innen: 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
NBB Working Paper No. 77
Verlag: 
National Bank of Belgium, Brussels
Zusammenfassung: 
We investigate the relevance of aggregate and consumer-specific income uncertainty for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of income risk on consumption changes is decomposed into an aggregate and into a consumer-specific part. Empirically, aggregate risk is modelled through a GARCH process on aggregate income shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering. Our results suggest that aggregate income risk explains a negligible fraction of the variance of aggregate consumption changes. A more important part of aggregate consumption changes is explained by the unobserved component. The interpretation of this component as reflecting consumer-specific income risk is supported by the finding that it is negatively affected by received consumer transfers.
Schlagwörter: 
income uncertainty
consumption
precaution
state space models
GARCH errors
unobserved component
Bayesian.
JEL: 
E21
Dokumentart: 
Working Paper

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