Polbin, Andrey and Fokin, Nikita (2017): К вопросу о долгосрочной взаимосвязи реального потребления домохозяйств с реальным доходом в РФ. Published in: Russia Economic Development , Vol. 24, No. 10 (November 2017): pp. 6-16.
Preview |
PDF
MPRA_paper_82451.pdf Download (242kB) | Preview |
Abstract
The paper is devoted to testing for existence of a long run relationship between consumption and income in Russia. We couldn’t find cointegration between consumption of households and GDP in constant prices. But statistical tests are in favor of cointegration between consumption in constant prices and real income which we define as a ratio of nominal GDP to implicit deflator for consumption. We also estimated a VECM model for real consumption and real income. Our results show high predictability of consumption growth by the error correction mechanism.
Item Type: | MPRA Paper |
---|---|
Original Title: | К вопросу о долгосрочной взаимосвязи реального потребления домохозяйств с реальным доходом в РФ |
English Title: | A note on cointegration relationship between real consumption and real income in Russia |
Language: | Russian |
Keywords: | Consumption, consumption forecasting, GDP, real income, VECM, cointegration, permanent income hypothesis, ARIMA |
Subjects: | E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications |
Item ID: | 82451 |
Depositing User: | Nikita Fokin |
Date Deposited: | 06 Nov 2017 23:40 |
Last Modified: | 29 Sep 2019 13:44 |
References: | Полбин, Андрей Владимирович. "Моделирование реального курса рубля в условиях изменения режима денежно-кредитной политики." Вопросы экономики 4 (2017): 61-78. Полбин, Андрей Владимирович. "Оценка влияния шоков нефтяных цен на российскую экономику в векторной модели коррекции ошибок." Вопросы экономики 10 (2017): 27-49. Angelini E. et al. Short‐term forecasts of euro area GDP growth //The Econometrics Journal. 2011. Vol. 14. No. 1. Pp. 25–44. Alquist, R., Kilian, L., Vigfusson, R. J. Forecasting the price of oil // Handbook of economic forecasting. 2013. Vol. 2. P. 427-507. Campbell J. Y. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis // Econometrica. 1987. Vol. 55. No. 6. Pp. 1249-73. Campbell J. Y., Mankiw N. G. Permanent income, current income, and consumption //Journal of Business & Economic Statistics. 1990. Vol. 8. No. 3.Pp. 265-279. Cochrane J. H. Permanent and transitory components of GNP and stock prices //The Quarterly Journal of Economics. 1994. Vol. 109. No. 1.Pp. 241-265. Cogley T. How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth //Journal of Macroeconomics. 2005. Vol. 27. No. 2. Pp. 179-207. Engle R. F., Granger C. W. J. Co-integration and error correction: representation, estimation, and testing //Econometrica. 1987. Vol. 55. No. 2. Pp. 251-276. Eo Y., Morley J. Likelihood‐ratio‐based confidence sets for the timing of structural breaks //Quantitative Economics. 2015. Vol. 6. No. 2. Pp. 463-497. Friedman M. A Theory of the Consumption Function. 1957. Princeton: Princeton University Press. Granger C. W. J.Some properties of time series data and their use in econometric model specification //Journal of econometrics. 1981. Vol. 16. No. 1. Pp. 121-130 Hall R. E. Stochastic implications of the life cycle-permanent income hypothesis: theory and evidence //Journal of Political economy. 1978. Vol. 86. No. 6. Pp. 971-987. King R., Plosser C., Stock J., Watson M. Stochastic Trends and Economic Fluctuations // American Economic Review. 1991. Vol. 81. No. 4. Pp. 819-40. Lütkepohl, H.New introduction to multiple time series analysis.Springer Science & Business Media, 2005. MacKinnon J. G. Critical values for cointegration tests. Queen's Economics Department Working Paper, 2010.№.1227. Marcellino M., Stock J. H., Watson M. W. Macroeconomic forecasting in the euro area: Country specific versus area-wide information //European Economic Review. 2003. Vol. 47. No1. Pp. 1-18 Stock, J. H., Watson, M. W. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems // Econometrica. 1993. Vol. 61. Pp. 783-820. Weber C. E. Intertemporal non-separability and “rule of thumb” consumption //Journal of Monetary Economics. 2002. Vol. 49. No. 2. Pp. 293-308. Whelan K. A two-sector approach to modeling US NIPA data //Journal of Money, Credit, and Banking. 2003. Vol. 35. No. 4. Pp. 627-656. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/82451 |