Essays on consumption predictability

• Ano de defesa: 2020
• Autor(a) principal: Endo, Marcos Hitoshi
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: Brasil; Brazil; Condições de crédito; Consumption predictability; Consumption smoothing; Credit conditions; Equação de Euler; EUA; Euler equation; Hypothesis tests; Instrumental variables; Instrumentos fracos; Liquidity constraints; Miopia; Myopia; Previsibilidade do consumo; Quebras estruturais; Restrições à liquidez; Structural breaks; Suavização do consumo; Testes de hipótese; US; Variáveis instrumentais; Weak instruments
• Link de acesso: https://www.teses.usp.br/teses/disponiveis/96/96131/tde-09022021-162504/

This doctoral dissertation is composed of three self-contained essays that study the relationship between the aggregate consumption growth and the main macroeconomic variables investigated by the consumption literature. The first essay examines the predictability of the Brazilian aggregate consumption growth taking into account four factors: intertemporal substitution, rule-of-thumb behavior, liquidity constraints and habit formation. The results suggest that estimations are plagued by weak instruments, thus we use valid (robust) confidence intervals that suggest that income growth rate and/or credit growth rate are the relevant predictors. The second essay studies whether consumption responds symmetrically or asymmetrically to predictable income. Instead of finding evidence for myopia or liquidity constraints, the findings support the \"perverse asymmetry\" hypothesis raised by Shea (1995a). The third essay studies the consumption predictability in the US. Using structural break tests and robust confidence intervals to deal with the parameter stability and weak instruments, respectively, the results show evidence that the relevant predictability factors have changed over time.