Luigi Ermini
Biographic Data
| ID | 8879521 |
|---|---|
| NAME | Luigi Ermini |
| GIVEN NAMES | Luigi |
| FAMILY NAME | Ermini |
| SIGNATURE | ERMINI L |
| AFFILIATIONS | University of Hawaiʻi at Mānoa |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1989 |
| LATEST PUBLICATION YEAR | 1993 |
| H-INDEX | 0 |
Effects of Transitory Consumption and Temporal Aggregation on the Permanent Income Hypothesis
This paper shows that U.S. monthly consumption data are consistent with the permanent income hypothesis when transitory consumption and temporal aggregation effects are jointly incorporated into the model. In this case, a more appropriate representation for the permanent income hypothesis is the integrated-moving average IMA(1, 1) process with a negative MA coefficient, rather than the repeatedly rejected random walk process. Restrictions on the …
Reinterpreting a Temporally Aggregated Consumption CAP Model
Recent literature has found that the coefficient of relative risk aversion estimated through consumption-based asset-pricing models is implausibly high, even when the phenomenon of temporal aggregation is taken into account. This article suggests that an IMA (1,1) process be assumed as the generating mechanism of consumption, instead of the standard random-walk process. In this case, if the coefficient of the moving average component is negative,…
Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process
While quarterly consumption data are known to be well fitted by an integrated first-order moving average process--IMA(1, 1)--with a positive coefficient, monthly consumption data are found to be well fitted by an IMA(1, 1) process with a negative coefficient. Without measurement errors, one implication is that, if R. Hall's (1978) random walk model of consumption behavior is true, then the agents' decision interval must be greater than a month. (…
No prominent works on this page.
Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process
While quarterly consumption data are known to be well fitted by an integrated first-order moving average process--IMA(1, 1)--with a positive coefficient, monthly consumption data are found to be well fitted by an IMA(1, 1) process with a negative coefficient. Without measurement errors, one implication is that, if R. Hall's (1978) random walk model of consumption behavior is true, then the agents' decision interval must be greater than a month. (…
Reinterpreting a Temporally Aggregated Consumption CAP Model
Recent literature has found that the coefficient of relative risk aversion estimated through consumption-based asset-pricing models is implausibly high, even when the phenomenon of temporal aggregation is taken into account. This article suggests that an IMA (1,1) process be assumed as the generating mechanism of consumption, instead of the standard random-walk process. In this case, if the coefficient of the moving average component is negative,…
Effects of Transitory Consumption and Temporal Aggregation on the Permanent Income Hypothesis
This paper shows that U.S. monthly consumption data are consistent with the permanent income hypothesis when transitory consumption and temporal aggregation effects are jointly incorporated into the model. In this case, a more appropriate representation for the permanent income hypothesis is the integrated-moving average IMA(1, 1) process with a negative MA coefficient, rather than the repeatedly rejected random walk process. Restrictions on the …
Econometrics (3 works) · Economics (3 works) · Computer Science (2 works) · Consumption (sociology) (2 works) · Economic theories and models (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Banking stability, regulation, efficiency (1 work) · Business (1 work)