Inflation Stabilisation and the Consumption of Durable Goods

Exchange rate-based stabilisations in chronic-inflation countries have often been characterised by an initial consumption boom (which is most evident in the behaviour of durable goods) followed by a later contraction. This paper provides an explanation for such a boom-recession cycle based on the timing of purchases of durable goods. The initial fall in inflation results in a wealth effect which induces many consumers to bring forward their purchases of durable goods, thus generating an aggregate consumption boom. Since most consumers replenish their stock of durable goods at the beginning of the programme, a later slowdown follows.     

Capital Trading,Stock Trading,and the Inflation Tax on Equity

A market for used capital goods, or financial instruments that represent the ownership of the used capital goods, induces inflation taxes on wealth and on the nominal income flows that they provide. This paper explicitly introduces trading in either used capital goods or financial instruments into the standard stochastic growth model with money and production. These two monetary economies are equivalent. The value of the firm is equal to the firm's capital stock divided by inflation. The resulting asset-pricing conditions indicate that the effect of inflation on asset returns differs from the effects found in the literature by the addition of a significant wealth tax. Journal of Economic Literature Classification Numbers: E0, E4, E5.     

Wealth accumulation and economic progress

In an evolutionary dynamic economic theory the accumulation of durable goods (i.e., wealth) is a key feature. Here we show that the wealth of individual economic agents can be measured by the progress function (PF). PF is a function of goods and money under straightforward assumptions, notably the ‘no-loss’ rule for transactions. We derive explicit formulae for wealth from the PF. We also show how the compatibility of the PF and the neoclassical economics deriving the conventional utility functions from the PF.     

The quest for status and endogenous labor supply: the relative wealth framework

We analyze the implications of relative wealth preferences in a Ramsey model with endogenous labor supply. In contrast to relative consumption preferences, they allow for the possibility that agents work too little in the long run, while under both specifications the steady-state levels of consumption and the stock of physical capital exceed their socially optimal counterparts. Even in the case of excessive leisure agents are worse off in terms of intertemporal utility because initial transitional dynamics are characterized by under-consumption and excessive work effort. “Too much” long-run consumption of goods and leisure is possible due to the excessive capital-labor ratio.      

The Timing of Purchases and Aggregate Fluctuations

We study the cyclical effects of the timing of durable goods purchases in a general equilibrium model in which both durable and non-durable goods are consumed and the durable good is lumpy. At the microeconomic level, the timing of durable goods purchases supplies some insulation for non-durable consumption over the cycle. At the macroeconomic level, the timing decisions tend to amplify and propagate wealth and income shocks. Our model also allows for endogenous price determination. When the price of the durable changes due to inflexibility of workers between sectors, the effect of adverse shocks is even stronger and longer.     

基于城乡视角的居民能源消费影响因素研究

2002—2016年,伴随着291亿农村人口的城镇化,中国居民能源消费量增长了190%。在这一背景下,准确识别城乡居民能源消费模式差异及影响因素显得至关重要。本文基于城乡视角,重新界定居民能源消费,涵盖了建筑用能和交通用能两部分;同时在模型中创新性地引入了财富效应和强度效应,结合结构效应、城镇化效应和人口效应进行定量研究。利用对数平均迪氏分解法,基于我国2002—2012年城镇、农村居民数据,本文考察了不同驱动因素对城镇和农村能源消费的异质性影响。结果表明,建筑能耗强度和住房面积的增长是驱动居民能源消费增长的主要因素,机动车数量的增加也对城镇居民能源消费有明显的正向作用。由于较高的增长率,农村建筑能耗强度和人均住房面积增加对能耗增量的贡献已经逐渐超过城市。此外,分解结果表明,城镇化对居民能源消费的正向效应在逐年递减。这为“城镇化导致居民能源消费增加”提供了间接反证。     

股票财富、信号传递与中国城镇居民消费

本文尝试在消费者最优选择模型基础上,通过引入居民的借贷约束和预防性储蓄,推导出能够检验股市的财富效应、信号传递效应和不对称效应的实证分析框架,并利用中国的季度数据考察中国股市变动对居民消费的影响。与国内相关文献所得结论不同,本文的研究表明:如果不仅考虑股票价格变动的财富效应,而且考虑其信号传递效应,那么中国股票市场对城镇居民消费存在着较为明显的影响。分析也表明,如果用工资而不是人均可支配收入度量人力资本回报,中国股票市场同样存在正的财富效应,且这种财富效应具有明显的不对称性,反映经济基本面变化的股价变动对中国居民消费具有长期影响,投机因素引起的股价变动对中国居民消费的影响甚微。     

Multiplicity and stagnation under the Romer model with increasing returns of R&D

This study develops a simple growth model to explain stagnation and non-simple growth patterns by using increasing returns of R&D efficiency. The study adopts a type of the lab-equipment model, namely, the Romer model, where goods are used as R&D input. Here, we assume capital, or durable goods, as the R&D input factor, and R&D efficiency is assumed to be variable. This arrangement yields three steady states, namely: no-growth, low-growth, and high-growth steady states. These trajectories are jumpable. Accordingly, global indeterminacy is obtained. By uniting the numerical analysis, we obtain that all steady states are saddle stable. However, when the increasing R&D efficiency is small, the path converging to a high-growth-rate steady state shows local indeterminacy.     

中国住房改革对家庭耐用品消费的影响

中国的住房改革对许多城市家庭形成正的财富冲击。利用CHNS数据,我们发现:同理论预期一致,受益于住房改革的家庭消费了更多的耐用品。特别是,在住房改革的随后几年,其影响更为显著。我们还发现,住房改革对耐用品消费的次序具有影响,经历住房改革的家庭倾向于首先消费生活最必需的耐用品,然后再消费其他耐用品。通过增加家庭的耐用品消费,住房改革对扩大内需和走出当时的通货紧缩产生了积极影响。     

Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks

Using recently developed econometric models of fractional integration with overlapping data, this study examines the time series properties of real monthly U.S. stock returns over the period 1871–2003. Using 1-month and overlapping, long-horizon stock returns of 12, 24, and 36 months, we find that real U.S. stock returns are covariance stationary for this period before and after allowing for the presence of structural breaks. Our results imply that the permanent (random walk) component of stock prices overwhelms any temporary (mean reverting) component, producing a fractional d-value for returns indistinguishable from zero. We highlight the limitations of standard ACF models of overlapping returns, and suggest that the previously observed pattern of increasingly negative autocorrelations is largely an artifact of short-term ARMA dynamics. We confirm the result of Souza (J Time Ser Anal 28:701–722, 2007) that, holding the bandwidth constant, overlapping (and nonoverlapping) temporal aggregation should not affect semiparametric, frequency domain d-estimates such as the GPH and feasible exact local Whittle.     

Consumption,wealth and business cycles in Germany

This paper studies the long-run relationship between consumption, asset wealth and income—the consumption–wealth ratio—based on German data from 1980 to 2003. We find that departures from this long-run relationship mainly predict adjustments in income. The German consumption–wealth ratio also contains considerable forecasting power for a range of business cycle indicators, including the unemployment rate. This finding is in contrast to earlier studies for some of the Anglo-Saxon economies that have shown that the consumption–wealth ratio reverts to its long-run mean mainly through subsequent adjustments in asset prices. While the German consumption wealth ratio contains little information about future changes in German asset prices, we report that the U.S. consumption–wealth ratio has considerable forecasting power for the German stock market. One explanation of these findings is that in Germany—due to structural differences in the financial and pension systems—the share of publicly traded equity in aggregate household wealth is much smaller than in the Anglo-Saxon countries. We discuss the implications of our results for the measurement of a potential wealth effect on consumption. The views expressed in this paper are those of the authors and do not reflect the position of the Deutsche Bundesbank. We gratefully acknowledge comments and suggestions from an anonymous referee as well as from Heinz Herrmann, Helmut Lütkepohl, the editor, Baldev Raj, Burkhard Raunig, Monika Schnitzer, Harald Uhlig and Christian Upper. We also benefitted from comments by seminar participants at the ECB, the Deutsche Bundesbank, the CESifo Macro, Money and International Finance Area Conference 2005, the EEA 2005 annual congress and at the 2005 IAEA Meetings. Last but not least, we would like to thank Mark Weth for very useful information concerning the construction of the financial wealth data. Hoffmann’s work on this paper is also part of the project The International Allocation of Risk funded by Deutsche Forschungsgemeinschaft in the framework of SFB 475. Responsibility for any remaining errors and shortcomings is entirely our own.     

Wealth and Consumption in Australia

We revisit the evidence on the effect of changes in household wealth on consumption using a panel of Australian states. We find that a one per cent increase in the value of housing wealth increases consumption by about 0.16 per cent in the long-run, with half of the response occurring within two quarters. The size of this response has been stable over time and largely reflects changes in spending on motor vehicles, durable goods and other discretionary items. We then run counterfactual scenarios using the Reserve Bank of Australia's macroeconometric model, MARTIN, to assess the macroeconomic effects of changes in household wealth. We show that increases in household wealth supported household spending between 2013 and 2017, when growth in disposable income was weak.     

Oil shocks,policy uncertainty and stock returns in China

This paper examines the interdependence of China's policy uncertainty, the global oil market and stock market returns in China. A structural VAR model is estimated that shows that a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market returns. Shocks to oil market‐specific demand significantly raise China's economic policy uncertainty and reduce the real stock market returns. As measured by a spillover index, the interdependence between these variables has been rising since 2003 as China's influence in the oil market has increased. An equivalent spillover index calculated for the US is smaller and has been largely flat over time.     

居民资产、财富效应与我国城镇居民消费

现代消费理论认为财富是影响居民消费的重要因素,并且各种财富形式对消费水平影响不同.对我国居民资产财富效应的实证研究表明,股票资产在长期对居民消费有负向影响.财富效应微弱,而房产财富对居民消费的正向效应比较明显,刺激消费作用较强.当前财富效应的产生与我国股市发展不稳定及房地产市场的发展特性相关,而个人可支配收入和储蓄仍是影响我国居民消费支出的主要因素.     

Uncertainty and investment evidence from a panel of Chinese firms

Using data from various Chinese companies for the period 1994–2005 and applying GMM (System) technique, we report some stylized facts regarding the link between uncertainty and investment, where uncertainty is measured as the volatility of daily stock market returns. Controlling for the short- and long-run investment dynamics, we discover important effects of measured uncertainty on firm-level investment. Our study consistently indicates a positive and statistically significant effect of uncertainty on the company investment. Further more the macroeconomic and firm-specific components of uncertainty also have a significant positive effect on their own. Higher risk perception leading to higher investment, and in turn stronger aspirations of reinvestment.     

Variety of products,public capital,and endogenous growth

This paper develops an extension of the endogenous growth model with variety expansion presented in Romer [Romer, P.M., 1990. Endogenous technical change, Journal of Political Economy 98, part 2, S71–S102] by considering public capital accumulation. Characterizing the transitional dynamics, the growth rate of consumption traces (and available number of intermediate goods also might trace) an S-shaped converging path to the equilibrium growth rate, similar to a logistic growth curve, if the intensity of public capital is sufficiently high. We also show that public investment enhances economic growth because it stimulates demand for intermediate goods and raises the market interest rate.     

OPTIMAL TRANSITION DYNAMICS IN THE LEONTIEF TWO‐SECTOR GROWTH MODEL WITH DURABLE CAPITAL: THE CASE OF CAPITAL INTENSIVE CONSUMPTION GOODS*

We present results on undiscounted optimal policies in the Leontief two‐sector growth model with durable capital. Unlike the results with a labour intensive consumption goods sector, we show that a monotonic optimal programme is only one special case out of many richer possibilities of transition dynamics. Depending on the initial capital stock, and a key parameter ζ that could be interpreted as a marginal rate of transformation of capital between today and tomorrow, an optimal programme may converge to a period‐two cycle; and even when it converges to the golden rule stock, it can do so (damped) cyclically or with a “jump”.     

The Effect of Exchange Rate Volatility on Trade in Durables

Because durable goods have the quality of an asset, risk-averse consumers wan to pay a lower price for durable than for nondurable goods so that they are compensated for the risk of price changes; they require risk premium. Since the exchange rate is a strong source of uncertainty in import prices, exchange rate volatility has a negative effect on the demand for imported durables. In an imperfectly competitive market, the volatility of the exchange rate is predicted to reduce the relative price of imported durables. The prediction is supported by an empirical investigation of US imports.     

消费习惯、异质偏好与动态资产定价:纯交换经济情形

本文用Chan和Kogan、Bask和Cuoco等的方法考虑纯交换经济下的定价问题,我们引进了两个投资者:一个具有外在性消费习惯;一个不具有消费习惯。我们重点考察消费习惯对投资者的最优消费规则的影响以及对资产价格的确定。此外,我们还考虑了对数效用函数下,消费习惯以差的形式出现的情形下的消费规则和定价问题。我们发现当两个投资者中一个具有消费习惯而另一个不具有该习惯时,消费习惯同时改变两个投资者的最优消费规则、消费动态和财富动态。此时的动态资产定价受外在性消费习惯的影响,即时Sharpe比为常数,并等于同质量经济下的即时Sharpe比。同时,如果考虑对数效用函数下消费习惯以差的形式出现,则即时Sharpe比是时变的,反周期的。     

INCOME UNCERTAINTY,CONSUMER DURABLES INVESTMENTS,AND HOME PRODUCTION: EVIDENCE FROM CHINA

We investigate the effect of uncertainty on home durable purchase decisions, and empirically evaluate the efficacy of consumer durable policies under uncertainty. A model of lumpy home capital adjustment shows that elevated uncertainty leads households to adopt a cautionary perspective and postpone their capital adjustment. We test this prediction using microevidence from China where both uncertainty and home production are substantial. We exploit a wide‐scale rebate program funded by the Chinese government as a natural experiment, and examine the impact on household investment. We find strong, significant, and robust evidence that greater income uncertainty inhibits durable adjustment. Our findings highlight the impediment that income uncertainty poses to investment in home durables, which are often considered as “engines of liberation” in emerging economies. (JEL E21, E64, J22, O16, O23, D91)