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Wealth, Credit Conditions and Consumption: Evidence from South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2012

and illiquid wealth time series from household balance sheet data for South Africa, previously constructed by the authors …, to explain fluctuations in the ratios of consumption and household debt to income in South Africa, from 1971 to 2005. The … system' (LIVES). The empirical results corroborate the theory in the paper, confirming that consumption relative to income is …

Persistent link: https://www.econbiz.de/10011084339

Consumption and Credit Constraints: International evidence

Bacchetta, Philippe; Gerlach, Stefan - C.E.P.R. Discussion Papers - 1997

If some consumers are liquidity-constrained, aggregate consumption should be ‘excessively sensitive’ to credit conditions as well as to income. Moreover, the ‘excess sensitivity’ may vary over time. Using data for Canada, France, Japan, the United Kingdom and the United States, we find a...

Persistent link: https://www.econbiz.de/10005666583

Housing, Credit and Consumer Expenditure

Muellbauer, John - C.E.P.R. Discussion Papers - 2008

Many factors have contributed to the development of credit markets, easing access of households to credit. This paper considers the implications of easier credit for the influence of higher house prices on consumer expenditure. It argues that with poorly developed credit markets, the effect is...

Persistent link: https://www.econbiz.de/10005666819

Consumption, Land Prices and the Monetary Transmission Mechanism in Japan

Muellbauer, John; Murata, Keiko - C.E.P.R. Discussion Papers - 2009

Japan. Economic theory suggests circumstances in which a rise in short term real interest rates can increase consumption … finds strong empirical evidence for a positive effect. Life-cycle theory also suggests that housing wealth effects on … evidence of a negative land price effect for Japan supports this hypothesis. We find no evidence of significant household …

Persistent link: https://www.econbiz.de/10005791412

Credit, Housing Collateral and Consumption: Evidence from the UK, Japan and the US

Aron, Janine; Duca, John V; Muellbauer, John; Murata, Keiko - C.E.P.R. Discussion Papers - 2010

The consumption behaviour of UK, US and Japanese households is examined and compared using a modern Ando-Modigliani style consumption function. The models incorporate income growth expectations, income uncertainty, housing collateral and other credit effects. These models therefore capture...

Persistent link: https://www.econbiz.de/10008468550

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value risk premium provided that good news about future...

Persistent link: https://www.econbiz.de/10011083286

Fiscal Policy and Learning

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2012

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump-sum taxes. Agents combine knowledge about future policy...

Persistent link: https://www.econbiz.de/10011083586

Policy Change and Learning in the RBC Model

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2012

Persistent link: https://www.econbiz.de/10011084557

Anticipated Fiscal Policy and Adaptive Learning

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2007

We consider the impact of anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations. To model this we assume that agents combine limited structural knowledge with a standard adaptive learning rule. We analyze these issues using two...

Persistent link: https://www.econbiz.de/10005791639

Does Ricardian Equivalence Hold When Expectations are not Rational?

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2010

This paper shows that the Ricardian Equivalence proposition can continue to hold when expectations are not rational and are instead formed using adaptive learning rules. In temporary equilibrium, with given expectations, Ricardian Equivalence holds under the standard conditions for its validity...

Persistent link: https://www.econbiz.de/10008468547