consumption and liquidity constraints

• Main Authors: Hsing-an Hu, 胡幸安
• Other Authors: Chiun-lin Hwang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/42581674167371923697

碩士 === 東吳大學 === 經濟學系 === 96 === This paper is based on the certification method developed by Campbell and Mankiw, and uses the data of Taiwan non-durables, disposable income,borrowing rate,lending rate,the difference between the rates of lending and borrowing and stock price index to verify Hall’s Life Cycle/Permanent Income Hypothesis (1978). According to CH/PIH, a consumer’s consumption depend on his permanent income, and will follow a random walk. This implies any changes in the future consumption unpredictable. This paper introduces lending rate as an indicator for consumer’s credit constraint, and also bringing in the stock price index, to the relationship among disposable income, borrowing rate,lending rate, the difference between the rates of lending and borrowing ,stock price index and aggregate consumption. The empirical findings in this paper show that non-durables consumption in Taiwan is sensitive to disposable income, with around 0.1108 to 0.4116 consumption being affected by current income. This result does not support PIH. On the other hand, consumer’s estimated value of lending rate and the difference between the rates of lending and borrowing is negative, and consumer’s estimated value of borrowing rate is positive ,but not substantial, and the consumption positively related with the stock market, but the sensitivity is quite small. Finally, taking into account the movement over time, when the consumption over sensitive fluctuation seems to consist with other findings that the more developed the capital market, the less the response of the consumption to current income.