소비함수접근법에 따른 생애주기-항상소득가설에 대한 연구

Abstract

This paper tests the LC-PIH(Life Cycle-Permanent Income Hypothesis) through the consumption function approach using 2SLS(Stage Least Squares) method using Korean data. The data used for the tests are the quarterly time series data of the GDP, the Final Consumption Expenditure of Households(FCEH), and the Government Bond Rate(GBR). Before testing the LC-PIH, the stationarity of data used in LC-PIH is examined. Specifically, the unit root test and cointegration test are considered. In implementing the unit root test and cointegration tests, several GAUSS Procedures from COINT are used. In the LC-PIH test, the 2SLS(Stage Least Squares) method as considered by Campbell & Mankiw(1989,1990) is used. According to the unit root test, there is no strong evidence of unit root in the GDP, the FCEH, and the GBR. In addition, the results of the cointegration test are rather ambiguous since they depend on the method of testing cointegration. In the classical LC-PIH test using the Korean data, the LC-PIH is rejected. The result of the 2SLS analysis shows that the model incorporating the Rule of Thumb Consumers has a explanatory power in our case, and the ratio of rejection of the LC-PIH ranges from 20% to 70% in level variables and from 20% to 40% in log variables. From the result of the first regression, it is reported that the change of current income and current consumption are not affected by the lagged differenced GBR. In addition, the latter result is not changed significantly even if the return rate of stock rather than the GBR is used as a proxy of the interest rate. In both cases, the interest rate terms are not significant in explanation of change of both current consumption and current income. In both regressions of level variable and log variable, the ratio of the rejection of LC-PIH is high in the case of using lagged differenced consumption. Consequently, this paper can be summarized into four points. First, the lagged differenced consumption influences the change of current consumption. Second, the ratio of the rejection of LC-PIH in Korean data is similar to the one in the U.S. from Campbell and Mankiw(1989,1990). Third, the model including the Rule of Thumb Consumers explains fairly the Korean data. Fourth, the interest rate terms do not affect the change of current consumption and current income. Except fourth, these results are similar to those of Campbell and Mankiw(1990) using the U.S. data.