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TESTING THE PREDICTABILITY OF CONSUMPTION GROWTH: EVIDENCE FROM CHINA

Journal of Economic Development
약어 : JED
2016 vol.41, no.3, pp.21 - 30
DOI : 10.35866/caujed.2016.41.3.002
발행기관 : 중앙대학교 경제연구소
연구분야 : 경제학
Copyright © 중앙대학교 경제연구소
Liping Gao 1 ,  HYEONGWOO KIM 2

1Georgia Southern University

2Auburn University

인용한 논문 수 :   -  
92 회 열람

Using time series macroeconomic data, Chow (1985, 2010, 2011) reported indirect empirical evidence that implies the validity of the permanent income hypothesis in China. We revisit this issue by evaluating direct measures of the predictability of consumption growth in China during the post-economic reform regime (1978-2009). We also implement and report similar analysis for the postwar U.S. data for comparison. Our in-sample analysis provides strong evidence against the PIH for both countries. Out-of-sample forecast exercises show that consumption changes are highly predictable, which sharply contrasts the implications of empirical findings by Chow (1985, 2010, 2011).

Permanent Income Hypothesis, Consumption, Out-of-Sample Forecast, Diebold-Mariano-West Statistic

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