期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2002
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：It is generally agreed that the consumption path implied by the standard stochastic life-cycle
version of the permanent-income model follows a random walk. The failure of the latter to
conform to data, however, undermines the suitability of the framework within which the
random walk path is obtained. We propose an alternative interpretation of Friedman’s revision
rule which implies that consumption follows an ARIMA(1,1,0) path. We show that this path is
compatible with the solution to a life-cycle optimising problem with habit formation and
precautionary saving motives. Evidence, obtained by applying the Kalman filter technique to
U.S. data for 1929-2001, strongly supports the proposed approach.
