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題名：消費與流動性限制--臺灣的實證研究
書刊名：經濟論文
作者：詹雅玲／葉金江
作者(外文)：Chan, Vei-lin／Yeh, Chin-chiang
出版日期：1998
卷期：26:2
頁次：頁157-187
主題關鍵詞：生命循環／恆常所得假說；過度敏感；準長期追蹤資料；流動性限制；Permanent income hypothesis；Excess sensitivity；Pseudo panel data；Liquidity constraints
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(6) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:16
  • 點閱點閱:186
　　　　　本文利用臺灣 1976 至 1994 年家庭收支調查資料所建立的準長期追蹤資料來驗 證消費是否有過度敏感以及流動性限制是否可以解釋過度敏感。加總誤差檢定結果顯示，由 非線性問題所導致的加總誤差也不足以解釋總體實證研究的過度敏感，而僅造成顯著低估實 質利率係數。個數資料實證結果發現，消費有顯著的跨期替代效果及過度敏感。可支配所得 成長率的係數值大於英、美等國的個體資料可支配所得成長率係數估計值，且各可支配所得 成長率的估計係數有逐年下降的趨勢。然而，具有高流動性資產及低流動性資產子樣本的消 費分別都對當前可支配所得有過度敏感且程度相當。根據 Zeldes （ 1989 ），此結果顯示 流動性限制並無法解釋消費的過度敏感。本文的結論是，個體資料的實證結果並無充分證據 支持流動性限制可以用來解釋臺灣生命循環╱恆常所得假說何以不成立。
　　　　　This paper presents empirical evidence on excess sensitivity of consumption as well as significant elasticity of intertemporal substitution using pseudo panel data built from Taiwan's 1976-1994 Survey of Family Income and Expenditure. The aggregation bias due to the non-linearity of the estimable equation cannot explain the excess sensitivity found in the previous macro evidence. We examine whether borrowing constraints can explain excess sensitivity of consumption in the case of micro data. The sensitivities of consumption to income growth decline over time, but are significant for both low- and high- wealth households, the difference between them being rather small. The results do not support the view that borrowing constraints can explain the LCH/PIH using Taiwan's micro data.
期刊論文
1.Campbell, John Y.、Mankiw, N. Gregory(1991)。The Response of Consumption to Income--a Cross-Country Investigation。European Economic Review，35(4)，723-767。  new window
2.Weber, Guglielmo、Attanasio, Orazio P.(1993)。Consumption Growth, the Interest Rate and Aggregation。The Review of Economic Studies，60，631-649。  new window
3.Carroll, Christopher D.(1997)。Buffer-stock Saving and the Life Cycle/Permanent Income Hypothesis。The Quarterly Journal of Economics，112(1)，1-55。  new window
4.Campbell, John Y.、Mankiw, N. G.(1990)。Permanent income, current income, and consumption。Journal of Business and Economics Statistics，8(3)，265-279。  new window
5.Deaton, Angus(1985)。Panel Data from Time Series of Cross-sections。Journal of Econometrics，30(1/2)，109-126。  new window
6.Flavin, Marjorie A.(1981)。The adjustment of consumption to changing expectations about future income。Journal of Political Economy，89(5)，974-1009。  new window
7.Hall, Robert E.(1978)。Stochastic Implications of the Life Cycle-permanent Income Hypothesis: Theory and Evidence。Journal of Political Economy，86(6)，971-987。  new window
8.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
9.詹維玲、胡勝正(1996)。臺灣消費函數之時間序列實證研究－消費對當前所得的反應。經濟論文，24(2)，187-214。new window  延伸查詢new window
10.Angrist, J. D.(1991)。Grouped-Data Estimation and Testing in Simple Labor-supply Models。Journal of Econometrics，47，243-266。  new window
11.Caballero, R. J.(1990)。Consumption Puzzles and Precautionary Saving。Journal of Monetary Economics，25，113-136。  new window
12.詹維玲、胡勝正(1997)。Financial Liberalization and Aggregate Consumption: The Evidence from Taiwan。Applied Economics，29，1525-1535。  new window
13.祁玉蘭、黃朝熙(1997)。An Empirical Study of the 'Rule of Thumb' Consumption Model in Five East Asian Countries。Applied Economics，29，1271-1282。  new window
14.Dynan, Karen E.(1993)。How Prudent are Consumers?。Journal of Political Economy，101，1104-1113。  new window
15.Flavin, Marjorie(1985)。Excess Sensitivity of Consumption to Current Income: Liquidity Constraints or Myopia?。The Canadian Journal of Economics=Revue canadienne d'Economique，18(1)，117-136。  new window
16.Moffitt, R.(1993)。Identification and Estimation of Dynamic Models with a Time Series of Repeated Cross-sections。Journal of Econometrics，59(1/ 2)，99-123。  new window
17.Paxson, C.(1996)。Saving and Growth: Evidence from Micro Data。European Economic Review，40，255-288。  new window
18.Zeldes, S. P.(1989)。Consumption and Liquidity Constrains: An Empirical Investigation。Journal of Political Economy，97(2)，305-346。  new window
19.Runkle, David E.(1991)。Liquidity Constraints and Permanent Income Hypothesis: Evidence from Panel Data。Journal of Monetary Economics，27(1)，73-98。  new window
20.Blanchard, O. J.、Mankiw, N. G.(1988)。Consumption: Beyond Certainty Equivalence。The American Economic Review，78，173-177。  new window
21.Siow, A.、Altonji, J. G.(1987)。Testing the Response of Consumption to Income Changes with (Noisy) Panel Data。The Quarterly Journal of Economics，102，293-328。  new window
22.Nijman, T. E.、Verbeek, M.(1993)。Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross-sections。Journal of Econometrics，59，125-136。  new window
23.Shea, J.(1995)。Union Contracts and the Life Cycle-permanent Income Hypothesis。The American Economic Review，85，186-200。  new window
24.Nijman, T. E.、Verbeek, M.(1992)。Can Cohort Data be Treated as Genuine Panel Data?。Empirical Economics，17，9-23。  new window
25.Pagano, Marco、Jappelli, Tullio(1989)。Consumption and Capital Market Imperfections: An International Comparison。The American Economic Review，79(5)，1088-1105。  new window
26.Mishkin, F.、Hall, R. E.(1982)。The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households。Econometrica，50(2)，461-481。  new window
27.Weber, G.、Attanasio, O. P.(1995)。Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey。Journal of Political Economy，103，1123-1157。  new window
28.劉壽祥(1988)。臺灣家庭部門的儲蓄與資產選擇之實證研究－雙元金融體系下決策行為之分析。臺灣銀行季刊，39(1)，1-38。new window  延伸查詢new window
29.Shea, John(1995)。Myopia, Liquidity Constraints, and Aggregate Consumption: A Simple Test。Journal of Money, Credit and Banking，27(3)，798-805。  new window
30.Browning, M. J.、Deaton, A. S.、Irish, M.(1985)。A Profitable Approach to Labor Supply and Commodity Demands over the Life-Cycle。Econometrica，53(3)，503-543。  new window
會議論文
1.Collado, M. D.(1991)。Estimating dynamic models from time series of cross-sections。Cambridge。  new window
2.詹維玲(1997)。民間消費與政府消費－臺灣的實證研究。0。new window  延伸查詢new window
3.黃朝熙(1997)。Permanent Income Consumption and Liquidity Constraints: An Empirical Study Using Time Series Data of Taiwan。0。  new window
4.胡勝正、陳禮潭(1997)。不完全借貸市場、短視行為與恆常所得假說：臺灣消費函數之實證研究。1997年總體經濟計量模型研討會。0。new window  延伸查詢new window
圖書論文
1.Deaton, A. S.、Paxson, C. H.(1994)。Saving, Growth, and Aging in Taiwan。Studies in the Economics of Aging。Chicago：University of Chicago Press。  new window
2.Mankiw, N. G.、Campbell, J. Y.(1989)。Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence。NBER Macroeconomics Annual。Cambridge, MA：MIT Press。  new window
 
 
 
 
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