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Displaying results 1 to 10 of 10.

  1. Non-parametric estimation of marginal propensities to consume
    the case of regression splines
    Author: Jørgensen, Casper Nordal; Kuchler, Andreas
    Published: March 17, 2017
    Publisher:  Danmarks Nationalbank, Copenhagen

    I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af husholdningers marginale forbrugstilbøjelighed. I forhold til eksisterende metoder kræver denne tilgang færre teoretiske antagelser... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 135 (112)
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    I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af husholdningers marginale forbrugstilbøjelighed. I forhold til eksisterende metoder kræver denne tilgang færre teoretiske antagelser for identifikation. Mere specifikt vises det i papiret at en regression spline-model for forbrug estimeret på baggrund af indkomst og aktiver giver et forholdsvis præcist estimat af husholdningernes marginale forbrugstilbøjelighed ved brug af tværsnitsdata. Den foreslåede metode er dog relativt datakrævende. Vi anvender metoden til at estimere den marginale forbrugstilbøjelighed for danske husholdninger baseret på detaljerede indkomst- og formuedata. Vi estimerer en gennemsnitlig marginal forbrugstilbøjelighed ud af likvide aktiver på 49 pct., men finder samtidig en betydelig grad af heterogenitet på tværs af formuefordelingen. For eksempel er forskellen på den gennemsnitligt estimerede marginale forbrugstilbøjelighed mellem 2. og 8. indkomstdecil over 30 procentpoint. Resultaterne indikerer, at det kan være vigtigt at tage højde for heterogeniteten i den marginale forbrugstilbøjelighed ved vurdering af effekter af finanspolitiske tiltag eller af ændringer i de lange renter. We investigate a non-parametric method to estimating marginal propensities to consume (MPC) using regression splines. This approach complements existing methods by relaxing a number of strong requirements on the part of the theory, otherwise necessary to acquire identification. Specifically, we show that a regression spline of consumption on income and assets yields a surprisingly precise estimate of the MPC at the household-level using only cross-sectional data. As a tradeoff on the part of the regression theory, the proposed method is somewhat data intensive. We use our proposed method to estimate the marginal propensity to consume for each household in Denmark, using detailed tax records on income and wealth. We estimate an aggregate MPC out of liquid assets of 49%, but with considerable heterogeneity over the wealth distribution. For example, we find the difference between the estimated MPC for the average household in the 2nd income decile compared to the 8th income decile to be more than 30 percentage points. Results indicate that it may be important to take the heterogeneity of MPC across households into account when assessing the impacts of proposed fiscal policies or changes in long interest rates.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/171806
    Series: Danmarks Nationalbank working papers ; no. 112
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. Precautionary borrowing and the credit card debt puzzle
    Author: Druedahl, Jeppe; Jørgensen, Casper Nordal
    Published: 2015
    Publisher:  Danmarks Nationalbank, Copenhagen

    This paper explores a rational economic explanation for the much discussed credit card debt puzzle. We set-up and simulate a generalization of the buffer-stock consumption model with longterm revolving debt contracts. In line with US credit card law,... more

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    This paper explores a rational economic explanation for the much discussed credit card debt puzzle. We set-up and simulate a generalization of the buffer-stock consumption model with longterm revolving debt contracts. In line with US credit card law, lenders can always deny households access to new debt, but they cannot demand immediate repayment of the outstanding balance. Under this assumption it is indeed optimal for households to simultaneously hold positive gross debt and positive gross assets even when the interest rate on the debt is much higher than the return rate on the assets. When the risk of being excluded from new borrowing is positively correlated with unemployment, we are able to explain a substantial share of the observed borrower-saver group and match a high level of liquid net worth.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/147427
    Series: Danmarks Nationalbank working papers ; 98
    Scope: Online-Ressource (47 S.), graph. Darst.
  3. A general endogenous grid method for multi-dimensional modelswith non-convexities and constraints
    Author: Druedahl, Jeppe; Jørgensen, Thomas H.
    Published: September 1, 2016
    Publisher:  CDR, Copenhagen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers / Department of Economics, University of Copenhagen ; no. 16, 09
    Subjects: Dynamische Optimierung; Stochastischer Prozess; Theorie
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  4. Persistent vs. permanent income shocks in the Buffer-Stock Model
    Author: Druedahl, Jeppe; Jørgensen, Thomas H.
    Published: June 2, 2016
    Publisher:  CDR, Copenhagen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers / Department of Economics, University of Copenhagen ; no. 16, 04
    Subjects: Privater Konsum; Einkommenshypothese; Lebenszyklus; Momentenmethode; Theorie
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  5. The intertemporal marginal propensity to consume out of future persistent cash-flows
    evidence from transaction data
    Author: Druedahl, Jeppe; Jensen, Emil Bjerre; Leth-Petersen, Søren
    Published: [2022]
    Publisher:  CEBI, Department of Economics, University of Copenhagen, Copenhagen

    To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from... more

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    To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from a major Danish bank. We examine the behavior of borrowers with adjustable rate mortgages, and exploit that the bank sends a letter before the annual reset containing advance information on the expected change in mortgage payments. We find that unconstrained households respond immediately, while liquidity constrained households instead wait and respond around the time the cash-flow-arrives. The cumulative response is similar across the liquidity distribution. This is in line with a standard buffer-stock consumption model, and implies that it is less effective to target stimulus to low liquidity households when the effect on household income is partly in the future.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268916
    Series: CEBI working paper series ; 22, 13
    Subjects: Consumption; anticipation effects; intertemporal MPC; persistent shocks; mortgages; monetary policy; heterogeneous agent models
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  6. Can consumers distinguish persistent from transitory income shocks?
    Author: Druedahl, Jeppe; Jørgensen, Thomas H.
    Published: [2018]
    Publisher:  CEBI, Department of Economics, University of Copenhagen, Copenhagen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/258898
    Series: CEBI working paper series ; 18, 03
    Subjects: Consumption; Saving; Income Shocks; Learning; Consumer Information
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  7. High frequency income dynamics
    Author: Druedahl, Jeppe; Graber, Michael; Jørgensen, Thomas H.
    Published: [2021]
    Publisher:  CEBI, Department of Economics, University of Copenhagen, Copenhagen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/258952
    Series: CEBI working paper series ; 21, 08
    Subjects: Consumption-saving; income dynamics; panel data models
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  8. Earmarked paternity leave and the relative income within couples
    Author: Druedahl, Jeppe; Ejrnæs, Mette; Jørgensen, Thomas H.
    Published: [2019]
    Publisher:  CEBI, Department of Economics, University of Copenhagen, Copenhagen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/258902
    Series: CEBI working paper series ; 19, 02
    Subjects: Income Share; Parental Leave; Earmarked Leave; Household Bargaining
    Scope: 1 Online-Ressource (circa 9 Seiten), Illustrationen
  9. Long-run saving dynamics
    evidence from unexpected inheritances
    Author: Druedahl, Jeppe; Martinello, Alessandro
    Published: [2017]
    Publisher:  CEBI, Department of Economics, University of Copenhagen, Copenhagen

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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/258893
    Series: CEBI working paper series ; 17, 02
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  10. The unemployment-risk channel in business-cycle fluctuations
    Author: Broer, Tobias; Druedahl, Jeppe; Harmenberg, Karl; Öberg, Erik
    Published: 15 October 2021
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16639
    Subjects: HANK; Search and Matching; unemployment risk; business cycles
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen