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Autoren: 
Fitzenberger, Bernd
Datum: 
1991
Reihe/Nr.: 
Diskussionsbeiträge - Serie II 126
Zusammenfassung: 
With representative agents maximizing their expected Xife time Utility, it can be shown under certain functional form assumptions that consumption follows a random walk and should be cointegrated across countries, because in an optimal risk pooling arrangement agents smooth consumptions with respect to erratic income movements. These implications are analyzed for the G-7-countries using spectral based and coIntegration techniques. Also the contemporaneous and causal feedback and a factor analytical model are estimated for the first differences of the consumption series. The results indicate little comovement of consumption across countries for annual data from 1950 to 1985.
Dokumentart: 
Working Paper

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