A time series analysis of real wages, consumption, and asset returns

Thomas F. Cooley, Masao Ogaki

研究成果: Article査読

23 被引用数 (Scopus)

抄録

This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical rejections of the model have suggested that the optimal labour contract model might be appropriate for understanding the time series properties of the real wage rate and consumption. We show that an optimal contract model restricts the long-run relation of the real wage rate and consumption. We exploit this long-run restriction (cointegration restriction) for estimating and testing the model, using Ogaki and Parks (1989) cointegration approach. This long-run restriction involves a parameter that we call the long-run intertemporal elasticity of substitution (IES) for non-durable consumption but does not involve the IES for leisure. This allows us to estimate the long-run IES for non-durable consumption from a cointegrating regression. Tests for the null of cointegration do not reject our model. As a further analysis, our estimates of the long-run IES for non-durable consumption are used to estimate the discount factor and a coefficient of time-nonseparability using Hansens (1982) Generalized Method of Moments. We form a specification test for our model à la Hausman (1978) from these two steps. This specification test does not reject our model.

本文言語English
ページ(範囲)119-134
ページ数16
ジャーナルJournal of Applied Econometrics
11
2
DOI
出版ステータスPublished - 1996
外部発表はい

ASJC Scopus subject areas

  • 社会科学(その他)
  • 経済学、計量経済学

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