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Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
Open accessAbstract
Optimization of the part of consumers is shown to imply that the marginal utility of consumption evolves according to a random walk with trend. To a reasonable approximation, consumption itself should evolve in the same way. In particular, no variable apart from current consumption should be of any value in predicting future consumption. This implication is tested with time-series data for the postwar United States. It is confirmed for real disposable income, which has no predictive power for consumption, but rejected for an index of stock prices. The paper concludes that the evidence supports a modified version of the life cycle--permanent income hypothesis.
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Citations
Cites
The Statistical Implications of a System of Simultaneous Equations
Haavelmo, T. (1943) · Econometrica · doi:10.2307/1905714 · Cited by 966
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Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
The Role of Intergenerational Transfers in Aggregate Capital Accumulation
Kotlikoff, L. J., & Summers, L. H. (1981) · Journal of Political Economy · doi:10.1086/260999 · Cited by 815
The Consumption Response to Income Changes
Jappelli, T., & Pistaferri, L. (2010) · Annual Review of Economics · doi:10.1146/annurev.economics.050708.142933 · Cited by 704
Risk, Returns, and Multinational Production *
Fillat, J. L., & Garetto, S. (2015) · The Quarterly Journal of Economics · doi:10.1093/qje/qjv031 · Cited by 148
Havranek, T., & Sokolova, A. (2020) · Review of Economic Dynamics · doi:10.1016/j.red.2019.05.004 · Cited by 141
Metadata
- Authors
- Hall, R. E.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1978-12
- Volume
- 86
- Issue
- 6
- Pages
- 971-987
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2081845494
- Cited by
- 3,573
- References
- 1
- FWCI
- 40.27
- Type
- journal article
- Language
- en
- Open access
- green
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- Hall, R. E. (1978). Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence. Journal of Political Economy. https://doi.org/10.1086/260724
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
