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Doctoral Thesis
Full name
Marcos Hitoshi Endo
Knowledge Area
Date of Defense
Ribeirão Preto, 2020
Gomes, Fabio Augusto Reis (President)
Araujo Junior, Eurilton Alves
Ferreira, Alex Luiz
Matos, Paulo Rogério Faustino
Nakabashi, Luciano
Soave, Gian Paulo
Title in English
Essays on consumption predictability
Keywords in English
Consumption predictability
Consumption smoothing
Credit conditions
Euler equation
Hypothesis tests
Instrumental variables
Liquidity constraints
Structural breaks
Weak instruments
Abstract in English
This doctoral dissertation is composed of three self-contained essays that study the relationship between the aggregate consumption growth and the main macroeconomic variables investigated by the consumption literature. The first essay examines the predictability of the Brazilian aggregate consumption growth taking into account four factors: intertemporal substitution, rule-of-thumb behavior, liquidity constraints and habit formation. The results suggest that estimations are plagued by weak instruments, thus we use valid (robust) confidence intervals that suggest that income growth rate and/or credit growth rate are the relevant predictors. The second essay studies whether consumption responds symmetrically or asymmetrically to predictable income. Instead of finding evidence for myopia or liquidity constraints, the findings support the "perverse asymmetry" hypothesis raised by Shea (1995a). The third essay studies the consumption predictability in the US. Using structural break tests and robust confidence intervals to deal with the parameter stability and weak instruments, respectively, the results show evidence that the relevant predictability factors have changed over time.
Title in Portuguese
Ensaios em previsibilidade do consumo
Keywords in Portuguese
Condições de crédito
Equação de Euler
Instrumentos fracos
Previsibilidade do consumo
Quebras estruturais
Restrições à liquidez
Suavização do consumo
Testes de hipótese
Variáveis instrumentais
Abstract in Portuguese
Esta tese é composta por três ensaios independentes que estudam a relação entre o crescimento do consumo agregado e as principais variáveis macroeconomicas estudadas pela literatura de consumo. O primeiro ensaio examina a previsibilidade do crescimento do consumo agregado brasileiro levando em consideração quatro fatores: substituição intertemporal, comportamento "rule-of-thumb", restrições a liquidez e formação de hábito. Os resultados sugerem que as estimações não afetadas por instrumentos fracos, portanto usamos intervalos de confiança robustos que sugerem que o crescimento da renda e/ou do crédito são preditores relevantes. O segundo ensaio estuda se o consumo responde simetricamente ou assimetricamente à renda previsível. Ao invés de encontrar evidência de miopia ou restrição à liquidez, os resultados suportam a hipótese de "assimetria perversa" levantada por Shea (1995a). O terceiro ensaio estuda a previsibilidade do consumo nos EUA. Usando testes de quebras estruturais e intervalos de confiança robustos para lidar com a estabilidade dos parâmetros e instrumentos fracos, os resultados sugerem que os fatores relevantes para a previsibilidade do consumo mudaram ao longo do tempo.
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