A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/24771

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/24771

题名:	A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration
作者:	黃台心;Huang, Tai-hsin
贡献者:	淡江大學經濟學系
日期:	2002-06
上传时间:	2009-11-30 18:36:25 (UTC+8)
出版者:	Blackwell
摘要:	This study re-evaluates the validity of the joint rational expectations-permanent income hypothesis under the framework of seasonal cointegration using seasonally unadjusted quarterly data from Austria, Canada and Taiwan. Evidence is found that the consumption change only depends on the innovations of the income and the unemployment rate changes, and that agents are rational in forming their expectations, i.e., the joint hypothesis is supported by the data used. However, with the same data set, a similar test based on non-seasonal cointegration tends to reject the joint hypothesis, since the test ignores completely the possible stochastic seasonalities that may contain important information, as has been pointed out by Wallis (1974), embodied in the data.
關聯:	Australian economic papers 41(2), pp.208-232
DOI:	10.1111/1467-8454.00160
显示于类别:	[經濟學系暨研究所] 期刊論文

文件中的档案:

档案	大小	格式	浏览次数
	0Kb	Unknown	542	检视/开启
A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration.pdf	554Kb	Adobe PDF	1	检视/开启
index.html	0Kb	HTML	225	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章