- 期刊
不完全借貸市場、短視行為與恆常所得假說－台灣消費函數之實證研究
IMPEREFCT LOAN MARKET, MYOPIA, AND PERMANENT INCOME HYPOTHESIS-AN EMPIRICAL STUDY OF TAIWAN
摘要
Campbell and Mankiw (1990)認為，只要經濟體系中有某一比例的消費是根據「經驗法則」，則Hall所引伸的恆常所得說即不能成立，然而，他們卻無法明確指出，這個比例到底是因流動限制或是因短視行為所產生的。本文用借貸市場完全與不完全的不同特性，分析受信用限制與具短視行為所延伸的消費行為，並發展出一個適當計量模型，以便將上述這兩種行為的比例，從經驗法則之消費者所占的比例中區分開來。這個模型的估計可明確的告訴我們，消費者中有多少比例是受到信用限制所影響，有多少比例是因短視行為所產生的。同時，對這兩個比例的有無做到聯合檢定，可用來驗證Hall所引伸的恆常所得假說。本文利用台灣的總體時間數列季資料來檢定恆常所得的假說，並測試台灣消費者的消費型態。我們的研究發現，這兩種行為的比例顯著的異於零，隱含著Hall恆常所得假說無法充分解釋台灣的實際資料。
並列摘要
Campbell and Mankiw (1990) claim that Hall's version of the life cycle/permanent-income hypothesis (LCH/PIH) does not hold if there are consumers who follow the rule of thumb by deciding their consumption on the basis of their current income. In general, the rule-of-thumb behavior can be explained by credit constraints (or liquidity constraints) and myopia. However, Campbell and Mankiw do not tell us which one is a better explanation for the rule-of-thumb behavior. In this study, we develop an econometric model and conduct a simple test, which differs from the conventional concept of liquidity constraints. The procedure allows us to estimate the proportions of consumption that are affected by credit constraints and by myopia, respectively. Our empirical test based on Taiwan's quarterly data finds that both proportions are significantly different from zero, which implies Hall's LCH/PIH does not hold.