使用永久性收入假說預(yù)測【外文翻譯】

1、<p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目：Using the permanent income hypothesis for forecasting. </p><p>　　出 處：Economic Quarterly (10697225); Winter95, Vol.

2、 81 Issue 1, p49, 15p, 2 Charts, 2 Graphs </p><p>　　作 者： Ireland, Peter N. </p><p><b>　　原

3、 文：</b></p><p><b>　　ABSTRACT</b></p><p>　　Discusses the use of Milton Friedman's permanent income hypothesis to explain the behavior of consumption, income and savings i

4、n the United States. Irving Fisher's theory of interest; Robert Hall's mathematical version of the permanent income hypothesis; John Campbell's formulation of an econometric forecasting model using data on sa

5、vings to project future income growth..</p><p>　　1. INTRODUCTION</p><p>　　Personal consumption expenditures grew by almost 2 percent during 1993 in real, per-capita terms. Real disposable income

6、 per capita, meanwhile, actually fell slightly. By definition, households draw down their savings when consumption grows faster than income. In fact, the figures for consumption and income just mentioned underlie a decli

7、ne in the personal savings rate from over 6 percent in the fourth quarter of 1992 to only about 4 percent in the fourth quarter of 1993.</p><p>　　One popular interpretation of these data starts with the idea

8、 that reductions in the savings rate cannot be permanently sustained. Eventually, households must rebuild their savings by cutting back on consumption; to the extent that lower consumption leads to lower income, income m

9、ust fall as well. Thus, in U.S. News & Worm Report, David Hage (1993-94) used the behavior of consumption, income, and savings to forecast that the economy would slow in 1994: "[A] slowdown in consumer spending

10、is likel</p><p>　　In light of this conventional wisdom, which suggests that a decline in savings presages a slowdown in economic growth, the continued strength of the U.S. economy in 1994 came as a surprise,

11、 raising the question of whether an alternative framework can better reconcile the recent behavior of consumption, income, and savings. This article considers one such alternative: Milton Friedman's (1957) permanent

12、income hypothesis. This hypothesis implies that households save less when they expect future in</p><p>　　Although developed in detail by Friedman in his 1957 monograph, the permanent income hypothesis has it

13、s origins in Irving Fisher's (1907) theory of interest. Thus, the article begins by reviewing Fisher's graphical analysis and by indicating how this analysis extends to a full statement of the permanent income hy

14、pothesis. The article goes on to show how Robert Hall (1978) derives the permanent income hypothesis from a mathematical theory that has very specific implications for the joint behavior</p><p>　　FISHER'

15、S THEORY OF INTEREST AND THE PERMANENT INCOME HYPOTHESIS</p><p>　　In presenting his theory of interest, Irving Fisher (1907) uses a graph like that shown in Figure 1 to illustrate how a household makes its c

16、onsumption and savings decisions. To simplify his graphical analysis, Fisher considers only two periods. His horizontal axis measures goods at time 0, and his vertical axis measures goods at time 1. Fisher's represen

17、tative household receives income Y0 during time 0 and y1 during time 1. </p><p>　　The representative household faces the fixed interest rate r, which serves as an intertemporal price. It measures the rate at

18、 which the market allows the household to exchange goods at time 1 for goods at time 0. In particular, if the household lends one unit of the good at time 0, it gets repaid (1 + r) units of the good at time 1. Similarly,

19、 if the household borrows one unit of the good at time 0, it must repay (1 + r) units of the good at time 1. Thus, in Figure 1, the household's budget cons</p><p>　　The household's preferences over c

20、onsumption at the two dates are represented by the indifference curves Uo and U1, each of which traces out a set of consumption pairs that yield a given level of utility. Utility increases with consumption in both period

21、s; hence, U1 > U0. The slope of each indifference curve is determined by the household's marginal rate of intertemporal substitution, the ratio of its marginal utilities of consumption at dates 0 and 1, or the rat

22、e at which it is willing to excha</p><p>　　To maximize its utility, the household chooses the consumption pair (c0, c1), where the indifference curve U0 is tangent to the budget constraint AA'. At (c0, c

23、1), the household's marginal rate of intertemporal substitution equals the gross rate of interest (1 + r). The household saves amount so = y0 - c1). </p><p>　　Now suppose that the household's income

24、pair changes to (y'0, y'1). Since this new income point lies on the same budget constraint as (y0, y1), the household continues to select (c0, c1) as its optimal consumption combination. In fact, the household ch

25、ooses (c0, c1) starting from any income point along AA'. Since all income points along AA' have the same present value, equal to PV = y0 + y1/(1 + r), (1) this example illustrates the first implication of Fisher&

26、#39;s theory: the household's consumptio</p><p>　　THE PERMANENT INCOME FORECASTING MODEL</p><p>　　John Campbell (1987) shows exactly how Hall's version of the permanent income hypothesis

27、 can be used to formulate an econometric forecasting model for the U.S. economy. Since the permanent income hypothesis implies that data on savings will help forecast future changes in labor income, Campbell starts with

28、a bivariate vector autoregression (VAR) for Aylt and st of the form [ylt = [a(L) b(L)] [y[sublt-1] + [u1t, [st = [c(L) d(L)] [st-1 + [u2t (16) where, for example, a(L) = a1 +a2L +a3L 2 + -- + </p><p>　　Campb

29、ell works through the series of linear algebraic manipulations outlined in Appendix A. First, he uses the VAR (16) to compute the expected future declines in labor income-- EtAlt+j that appear on the fight-hand side of e

30、quation (15). Next, he demonstrates that these expected future declines depend on the coefficients of the lag polynomials a(L), b(L), c(L), and d(L). In particular, if the present value of the expected future declines in

31、 income are to equal the current value of savings st, a</p><p>　　Equation (17) gives the restrictions imposed by Hall's version of the permanent income hypothesis on the VAR (16). </p><p>　　

32、PERFORMANCE OF THE PERMANENT INCOME FORECASTING MODEL</p><p>　　Quarterly data, 1959:1-1994:3, are used to estimate the VAR in equation (16) both with and without the permanent income restrictions (17). The s

33、pecification (16) assumes that triangleylt and st have zero mean; in practice, adding constant terms to the VAR removes each variable's sample mean. The estimated models include six lags of each variable on the right

34、-hand side. </p><p>　　Panel (a) of Table 1 shows the unconstrained equation for labor income growth. The negative sum of the coefficients on lagged savings indicates that a decrease in savings translates int

35、o a forecast of faster income growth, exactly as implied by the permanent income hypothesis. Moreover, an F-test easily rejects the hypothesis that the savings data do not help to forecast future income growth; again as

36、predicted by the permanent income hypothesis, the coefficients on the lags of st are jointly si</p><p>　　Panel (b) of Table 1 displays the equation for labor income when the permanent income constraints (17)

37、 are imposed on the VAR. The estimates assume that r = 0.01, which corresponds to an annual real interest rate of 4 percent. The coefficients of the constrained equation closely resemble those of the unconstrained equati

38、on, indicating once again that the data are consistent with the permanent income hypothesis. </p><p>　　A statistical test rejects the constraints (17) at the 99 percent confidence level. As noted by King (19

39、95), however, formal hypothesis tests seldom fail to reject the implications of detailed mathematical models such as Hall's.</p><p>　　Ultimately, the permanent income hypothesis must be judged on its abi

40、lity to forecast the data better than alternative models. </p><p>　　Thus, Table 2 reports on the forecasting performance of the permanent income model. First, the constrained VAR is estimated with data from

41、1959:1 through 1970:4 and is used to generate out-of-sample forecasts for the total change in labor income one, two, four, and eight quarters ahead. Next, the sample period is extended by one quarter, and additional out-

42、of-sample forecasts are obtained. Continuing in this manner yields out-of-sample forecasts for 1971:1 through 1994:3. </p><p>　　The table computes the permanent income model's mean squared error at each

43、forecast horizon. It expresses each mean squared error as a fraction of the mean squared error from a univariate model for labor income growth with six lags. Thus, figures less than unity in Table 2 indicate that the VAR

44、's mean squared forecast error is smaller than the univariate model's. </p><p>　　The table shows that the permanent income forecasts improve on the univariate forecasts at all horizons. The gain in f

45、orecast accuracy exceeds 10 percent at horizons longer than one quarter. The permanent income model is especially valuable for forecasting at the annual horizon, where it reduces the univariate forecast errors by 25 perc

46、ent. </p><p>　　Table 2 also compares the forecasting performance of the constrained VAR to the performance of the VAR when the permanent income constraints (17) are not imposed. Once again, the figures less

47、than unity indicate that the permanent income forecasts have lower mean squared error than the unconstrained forecasts. The improvement is most dramatic at longer horizons. Thus, Table 2 shows that the permanent income c

48、onstraints help improve the model's out-of-sample forecasting ability relative to both a</p><p>　　Figure 2 plots the data for real personal savings per capita. It shows that savings increased from 1987 t

49、hrough the end of 1992, but have fallen since then. According to the permanent income hypothesis, this recent decline in savings indicates that households expect future gains in income. </p><p>　　Indeed, for

50、ecasts from the permanent income model reflect these expectations. When estimated with data through 1994:3, the constrained VAR predicts growth in real disposable labor income per capita of $181 for 1995. Since real disp

51、osable labor income now stands at about $12,300 and the population is growing at an annual rate of about 1 percent, this figure translates into a gain in aggregate real labor income of 2.5 percent. Thus, the permanent in

52、come model predicts that the U.S. economy will co</p><p>　　CONCLUSION</p><p>　　Conventional wisdom suggests that the recent decline in personal savings cannot be sustained. Eventually, household

53、s will have to reduce their consumption, causing economic growth to slow. The permanent income hypothesis, however, contradicts this conventional wisdom. According to this hypothesis, households reduce their savings when

54、 they expect future income to be high; a low level of savings indicates that faster, not slower, income growth lies ahead. </p><p>　　This article uses a mathematical version of the permanent income hypothesi

55、s to formulate a simple econometric forecasting model for the U.S. economy. Estimates from the model reveal that the data are broadly consistent with the hypothesis' implications. Most important, the data indicate th

56、at declines in savings typically precede periods of faster, rather than slower, growth in income. </p><p>　　The results show that the permanent income model improves on univariate forecasts for annual labor

57、income growth by 25 percent. The model also improves on the forecasting ability of an unconstrained vector autoregression for savings and labor income. In light of the recent decline in savings, the permanent income mode

58、l forecasts continuing growth in personal income for 1995. </p><p>　　The author would like to thank Mike Dotsey, Mary Finn, Bob Hetzel, Tom Humphrey, and Tony Kuprianov for helpful comments and suggestions.

59、The opinions expressed herein are the author's and do not necessarily represent those of the Federal Reserve Bank of Richmond or the Federal Reserve System.</p><p>　　譯 文：使用永久性收入假說預(yù)測 </p><p&g

60、t;<b>　　摘要</b></p><p>　　使用米爾頓·弗里德曼的持久收入假說來解釋消費、收入和美國儲蓄行為。采用歐文·費雪的興趣理論；羅伯特·霍爾的永久收入假說的數(shù)學(xué)版本；約翰坎·貝爾的計量方法預(yù)測經(jīng)濟，以儲蓄數(shù)據(jù)預(yù)測未來收入增長模式。</p><p><b>　　一、引言</b></p>

61、;<p>　　1993美國實際人均消費開支增長了近2%，個人儲蓄率由1992年第四季的6%以上下降到1993年第四季的4%。同時，實際人均可支配收入其實略有減少。家庭消費增長速度快于收入。事實上,剛才提到的這些數(shù)字下降的基礎(chǔ)是消費和收入 。</p><p>　　近幾年流行的一個解釋這些數(shù)據(jù)的思想是：儲蓄率減少不能永遠持續(xù)下去，最終家庭必須重建其儲蓄削減消費,消費程度較低導(dǎo)致收入下降。因此，在美國，戴

62、維·哈格(1993-94)使用的消費行為,收入和儲蓄的經(jīng)濟預(yù)測，會減慢于1994年:“[A]消費開支放緩，它可以減少額外的0.6個百分點的增長”(p43)。在同一時間,基因愛潑斯坦(1993)的巴倫的引用經(jīng)濟學(xué)家菲利普布雷弗說，“消費者以并不足夠的資金,保持目前的支出步伐”(p37)。同樣，在麥格勞-希爾的審查美國經(jīng)濟、專業(yè)預(yù)報員吉爾·湯普森(1993)寫道:“并不樂觀，香港經(jīng)濟需要啟動，消費者的儲蓄率很低，招致更多

63、的債務(wù)，消費必須放慢”(P16和18)。 </p><p>　　根據(jù)這一常規(guī)表明，在儲蓄下降帶來的經(jīng)濟增長放緩的情況下，繼續(xù)保持強勢的1994年美國經(jīng)濟是一個意外。提出問題，是否有替代框架可以更好地協(xié)調(diào)最近的消費行為，收入和儲蓄。本文認為有一種選擇:米爾頓·弗里德曼(1957)固定收入假設(shè)。這一假設(shè)意味著，家庭節(jié)省他們預(yù)期未來上升的收入。因此，根據(jù)長期收入假設(shè)，儲蓄下降，收入增長擺在面前。 </p

64、><p>　　文章開始審查費希爾的圖形分析和說明這種分析如何擴大至全部永久收入假設(shè)。接著展示羅伯特·霍爾(1978)從一個數(shù)學(xué)理論獲得永久收入假設(shè)，都有非常具體的影響消費的行為，收入和儲蓄。繼約翰·坎貝爾(1987)，利用儲蓄的數(shù)據(jù)制訂一個簡單模式，預(yù)測未來收入增長。根據(jù)這一模式顯示,美國數(shù)據(jù)不符合常規(guī)理論。</p><p>　　費雪的利益和長期收入假設(shè)理論</p&g

65、t;<p>　　在提出他的利益理論時，歐文·費雪(1907)利用一個圖表，圖1所示，說明一個家庭的消費和儲蓄決定。根據(jù)圖形分析，費雪認為只有兩個時期，他假設(shè)貨物在時間橫軸上為0時，貨物在時間垂直軸上為1，家庭獲得的收入Y0和Y1在期間為0和1次。 </p><p>　　家庭面臨的固定利率R,它的速度，實際價格，使市場的家庭交換物品在時間10時。特別是，如果家庭提供一個單位的良好0時，它被償

66、還(1+R)單位時的良好1。同樣，如果家庭借入一個單位的良好0時，它必須償還(1+R)單位時的良好1。因此，在圖1,家庭的預(yù)算限制AA',經(jīng)過收入點，斜坡--(1+R)。 </p><p>　　家庭的消費偏好，在兩個日期是冷漠曲線, 實用與消費增加兩個時期；因此，每一個斜坡的冷漠曲線是由家庭的邊際稅率時際替代的比例，其邊際消費日期0和1，它是愿意交流貨物在時間10時。 </p><p&

67、gt;　　家庭最大的效用消費選擇，是漠視曲線和切線，家庭的邊際稅率等于時際替代的毛利率(1+R)，家庭節(jié)省數(shù)額。家庭的收入變化，因為這種新的收入是同一預(yù)算限制，家庭仍然選擇,其消費最佳組合。事實上，家庭選擇從任何收入點。由于所有收入點這個例子說明了第一個影響費希爾的理論:家庭的消費選擇只取決于本價值的收入組合，而不是分散的個體。 </p><p><b>　　霍爾的固定收入假設(shè)</b><

68、;/p><p>　　羅伯特·霍爾(1978)發(fā)展一個數(shù)學(xué)版，假設(shè)長期收入之間的關(guān)系使儲蓄和預(yù)期未來收入確定。事實上，數(shù)據(jù)節(jié)約模式顯示可以用來預(yù)測未來收入的變化。 </p><p>　　弗里德曼假設(shè)有很多時間t=0、1、2、。。。 ，家庭不確定自己的未來收入前景。其中e再次意味著家庭的期望,U(CT)措施實用工具的消費額CT在時間t和折扣因子β介乎0和一個。家庭開始期間資產(chǎn)的價值，利息

69、收入，這些資產(chǎn)在不斷上升；其資本收入期間T，因此家庭也收到勞動收入金期間筆。在該期間結(jié)束T，分裂的家庭總收入，消費之間和儲蓄次。隨后，它有資產(chǎn)的價值家庭允許借款，對其未來勞動收入的息率R；由于借貸和積累的債務(wù)的聯(lián)系，其資產(chǎn)可能成為負的。長遠而言其借貸受限制，如何平衡(9)限制家庭的借貸，注意的是公式(8)是一個不同變量的方程式。用公式(9)作為一個終端條件，可以解決公式(8)。公式(10)顯示，家庭必須償還債務(wù)的今天，制定未來消費節(jié)約未

70、來勞動收入。公式(10)也意味著，凡指代表性的家庭的期望時間T。這種情況下，目前的水平,必須在資產(chǎn)不足以支付任何差異現(xiàn)值預(yù)期未來消費和現(xiàn)值以及未來的勞動收入。選擇的代表性的家庭消費CT和資產(chǎn)控股的所有t=0、1、2。。。。，為最大限度地利用功能(7)受限制(8)及(9)。公式(12)只可optimality條件的圖1和家庭之間的冷漠曲線，其預(yù)算限制。這表明</p><p>　　假設(shè)利率R是有關(guān)家庭的折扣率通過。[

71、3]根據(jù)這些額外假設(shè)、公式(12)減至公式(13)意味著CT所有J=0、1、2這一結(jié)果代入公式(11)產(chǎn)量在右邊的公式(14)，相當于目前的資本收入(1+R)倍的現(xiàn)值，預(yù)期未來的勞動收入公式(14),就像方程式(6)，國家的第一個主要影響的固定收入的假設(shè)：消費是由固定收入，第二個固定收入假設(shè)重要影響因素。</p><p>　　根據(jù)公式(15)，目前的家庭的儲蓄等于未來預(yù)期的勞動收入。因此，公式(15)指出，家庭儲

72、蓄少，預(yù)期未來收入上升。相反，儲蓄多的家庭時，預(yù)期未來收入下降。再次，第二所涉的固定收入假設(shè)數(shù)據(jù)表明，儲蓄有助于預(yù)測未來收入的變化。 </p><p><b>　　固定收入的預(yù)測模式</b></p><p>　　約翰·坎貝爾(1987)顯示固定收入的假設(shè)可用于制定一項經(jīng)濟計量模型預(yù)測美國經(jīng)濟。由于固定收入假設(shè)意味著儲蓄將有助于預(yù)測未來勞務(wù)收入的變化，坎貝爾開

73、始的一種媒介autoregression(VAR)和Staylt的形式。[4]坎貝爾說明當時在儲蓄和未來的勞動收入的關(guān)系的確定模式轉(zhuǎn)變?yōu)橐惶讌?shù)限制VAR（16）?？藏悹柾ㄟ^一系列的線性代數(shù)概述了第一，他利用VAR(16)計算，預(yù)計未來的勞動收入下降。下一步，他表明這些預(yù)期下降取決于未來的滯后的系數(shù)式(l)、B(l)、C(L),和D(L)。特別是如果預(yù)期未來收入減少，價值等于目前的儲蓄價值。</p><p>　　

74、固定收入預(yù)測模式的業(yè)績</p><p>　　季度數(shù)據(jù),1959:1-1994:3，用來估計在公式VAR(16)，并沒有永久收入限制(17)。規(guī)格(16)假定triangleylt意味著；在實踐中不斷增加的var除去每個樣本變量，估計模式包括0后面的每個變量的右邊。小組（a）表1顯示不受限制勞動收入的增長的方程式。儲蓄減少表明，在儲蓄轉(zhuǎn)化為預(yù)測的較快的收入增長，正如假設(shè)的固定收入。此外，儲蓄數(shù)據(jù)不幫助預(yù)測未來收入增

75、長；再次，假設(shè)的固定收入的預(yù)測系數(shù)的間隔次在0.00037的水平。小組(b)的表1顯示勞動收入的固定收入限制(17)。估計,R=0.01,這相當于每年的實際利率的4%，再次表明是一致的數(shù)據(jù)與固定收入的假設(shè)。 </p><p>　　表2固定收入模式預(yù)測:第一，限制var估計數(shù)據(jù)，從1959:通過1970 1:4和用于生成的樣本預(yù)測的總改變勞動收入。下一步，樣本期延長一個季度，在這種方式預(yù)測:1994年通過1:3。計

76、算表的固定收入模式的方式錯誤，這意味著每一個表示方式錯誤作為一部分的錯誤univariate模式與勞動收入增長0落后。 因此，數(shù)字低于統(tǒng)一的表2表明，平均方式預(yù)測錯誤是比univariate模式。長期收入預(yù)測改善univariate預(yù)測的視野。所得到的預(yù)測準確率超過10%，視野超過一個季度。如減少univariate預(yù)測錯誤的25%。比較業(yè)績預(yù)測的限制var的表現(xiàn)時var的固定收入限制(17)并沒有限制。再次，數(shù)字顯示，統(tǒng)一的固定收入預(yù)

77、測降低意味著比方形錯誤不受限制的預(yù)測。最大的改善是在于較大視野。因此，長期收入限制有助于改善模式的樣本預(yù)報能力。事實上，從預(yù)測的固定收入模式反映這些期望。當估計數(shù)據(jù),1994年，限制var預(yù)測的增長，實際可支配收入人均勞動，1995年的181元。因為實際可支配收入勞動目前12300元和人口增長每年增加約1%,這一數(shù)字相當于獲得的實際勞動收入總額的2.5%。因此，長期收入模</p><p><b>　　總

78、結(jié)</b></p><p>　　常規(guī)理論建議，最近不能持續(xù)的減少個人儲蓄，最終，住戶減少消費，造成經(jīng)濟增長放緩。固定收入的假設(shè)，違背了這種常識。根據(jù)這一假設(shè)，家庭減少他們的積蓄，他們預(yù)期未來收入很高；一個低水平的儲蓄,收入將會增長。 </p><p>　　本文使用的數(shù)學(xué)版的固定收入假說來制訂一個簡單經(jīng)濟計量模型預(yù)測美國 經(jīng)濟。數(shù)據(jù)顯示，大致符合假設(shè)，最重要的是，數(shù)據(jù)顯示，一般儲

79、蓄下降之前時間更快，而不是較慢，且收入增加。 </p><p>　　結(jié)果顯示，長期收入改善示范univariate預(yù)測每年的勞動收入增長25%。 這一模式改善了預(yù)測能力不受限制的矢量autoregression儲蓄和勞務(wù)收入。鑒于最近儲蓄減少，利用固定收入持續(xù)增長模式來預(yù)報1995年個人收入。 </p><p><b>　　導(dǎo)師評語：</b></p>&