Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2010 | nr 2 (25) | 25--49
Tytuł artykułu

Re-Testing Liquidity Constraints in Ten Asian Developing Countries

Warianty tytułu
Języki publikacji
This paper suggests that the strength or weakness of the economy can affect short-run consumption and consumer borrowing in the credit markets, and that these behavioural changes are key factors determining liquidity constraints. A nonlinear threshold model is developed, with the threshold variable of the real GDP growth dividing the model into two regimes: strong economy and weak economy. The model is used to test again for liquidity constraints on consumers in the ten Asian countries analyzed in Habibullah et al. (2006). Of the ten countries, seven are found to exhibit nonlinearity in their consumption data. This confirms that levels of economic growth affect the proportion of consumers who are liquidityconstrained. Weak economic growth is found to be associated with higher levels of liquidity constraints, and strong economic growth with lower levels of constraints.(original abstract)
Opis fizyczny
  • Overseas Chinese University
  • Southern Taiwan University
  • Aiyagari, S. R., Uninsured Idiosyncratic Risk and Aggregate Saving, “The Quarterly Journal of Economics”, 109(3), pp. 659-684, August 1994.
  • Attanasio, O., Guglielmo, W., Consumption Growth, the Interest Rate and Aggregation, “The Review of Economic Studies” 60(3), pp. 631-649, 1993.
  • Baxter, M., Urban J. Jermann, Household Production and the Excess Sensitivity of Consumption to Current Income, NBER Working Paper No. 7046, 1999.
  • Berthelemy, J. C., Varoudakis, A., Thresholds in Financial Development and Economic Growth, “The Manchester School of Economic & Social Studies” 63(0), pp. 70-84, 1995.
  • Caballero, R. J., Consumption Puzzles and Precautionary Saving, “Journal of Monetary Economics” 25, pp. 113-136, 1990.
  • Campbell, J. Y., Mankiw, N. G., Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidenc, (in) Blanchard, O., Fisher, S. (eds.), Macroeconomics Annuals, NBER 1989. The MIT Press, Cambridge 1989.
  • Campbell, J. Y., Mankiw, N. G., Permanent Income, Current Income, and Consumption, “Journal of Business and Economic Statistics” 8(3), pp. 265-279, 1990.
  • Campbell, J. Y., Mankiw, N. G., The Response of Consumption to Income – a Cross-Country Investigation, “European Economic Review” 35, pp. 723-767, 1991.
  • Carroll, Christopher D., Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis, “Quarterly Journal of Economics” 112, pp. 1-55, 1997.
  • Chen, C. W. S., Chiang, T. C., So, M. K. P., Asymmetrical Reaction to US Stock-return News: Evidence from Major Stock Markets Based on a Double-Threshold Model, “Journal of Economics and Business” 55, pp. 487-502, 2003.
  • Chan, K. S., Tong, H., On Likelihood Ratio Tests for Threshold Autoregression, “Journal of the Royal Statistical Society”, Series B 52, pp. 469-476, 1990.
  • Davidson, J. E. H., Hendry, D. F., Srba, F., Yeo S., Econometric Modelling of the Aggregate Time-Series Relationship between Consumers’ Expenditure and Income in the United Kingdom, “Economic Journal” 88, pp. 661-692, 1978.
  • Deaton, A., Saving and Liquidity Constraints, “Econometrica” 59(5), pp. 1221-1248, 1991.
  • De Gregorio, J., Guidotti, P. E., Financial Development and Economic Growth, “World Development” 23, pp. 434-448, 1995.
  • Flavin, M., Excess Sensitivity of Consumption to Current Income: Liquidity Constraints or Myopia, “Canadian Journal of Economics” 18(1), pp. 117-136, 1985.
  • Flavin, M., Excess Smoothness of Consumption: Identification and Interpretation, “The Review of Economic Studies” 60(3), pp. 651-666, 1993.
  • Gertler, M., Simon, G., Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms., “The Quarterly Journal of Economics”, pp. 309-340, May 1994.
  • Greenwald, B. C., Stiglitz, J. E., Financial Market Imperfections and Business Cycles, “The Quarterly Journal of Economics”, pp. 77-114, February 1993.
  • Habibullah, M. S., Smith, P., Azman-Saini, W. N. W., Testing Liquidity Constraints in 10 Asian Developing Countries: An Error-Correction Model Approach, “Applied Economics” 38, pp. 2535-2543, 2006.
  • Hall, R. E., Stochastic Implications of the Life Cycle Permanent Income Hypothesis: Theory and Evidence, “Journal of Political Economy” 86, pp. 971-987, 1978.
  • Hall, R. E., Mishkin, Frederic S., The Sensitivity of Consumption to Transitory Income: Estimation from Panel Data on Households, “Econometrica” 50, pp. 461-481, 1982.
  • Hansen, B. E., Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis, “Econometrica” 64, pp. 413-430, 1996.
  • Hansen, B. E., Threshold Effects in Non-Dynamic Panels: Estimation, Testing and Inference, “Journal of Econometrics” 93, pp. 345-368, 1999.
  • Hansen, Bruce E., Sample Splitting and Threshold Estimation, “Econometrica” 68, pp. 575-603, 2000.
  • Hayashi, F., Tests for Liquidity Constraints: A Critical Survey and Some New Observations, (in) Bewley T. (ed.), Advances in Econometrics Vol. 2, Fifth World Congress. Cambridge University Press, 1987.
  • Hendry, D. F., von Ungern-Sternberg, T., Liquidity and inflation effects on consumers’ expenditure (in) Deaton A., S. (ed.) Essays in the Theory and Measurement of Consumers’ Behaviour, pp. 72-112. Cambridge University Press, Cambridge.
  • Huang, B. N., Yang, C. W., Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causality Model, “The Manchester School” 72(3), pp. 347-362, 2004.
  • Huang, B. N., Hwang, M. J., Peng, H. P., The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model, “Energy Economics” 27, pp. 455-476, 2005.
  • Jappelli, T., Marco, P., Consumption and Capital Market Imperfections: An International Comparison, “American Economic Review” 79(5), pp. 1088-1105, 1989.
  • Jappelli, T., Marco, P., Saving, Growth, and Liquidity Constraints, “Quarterly Journal of Economics” 109, pp. 83-109, 1994.
  • Lucas, D. J., Asset Pricing with Undiversifiable Income Risk and Short Sales Constraints Deepening the Equity Premium Puzzle, “Journal of Monetary Economics” 34, pp. 325-341, 1994.
  • MacKinnon, J. G., Numerical Distribution Functions for Unit Root and Cointegration Tests, “Journal of Applied Econometrics” 11, pp. 601-618, 1996.
  • MacKinnon, J. G., 2010. Critical Values for Cointegration Tests, Queen’s Economics Department Working Paper No. 1227, Queen’s University, Kingston, 1996.
  • Runkle, D. E., Liquidity Constraints and the Permanent-Income Hypothesis: Evidence from Panel Data, “Journal of Monetary Economics” 27(1), pp. 73-98, 1991.
  • Shea, J., Myopia, Liquidity Constraints, and Aggregate Consumption: Simple Test, “Journal of Money, Credit, and Banking” 27(3), pp. 798-805, 1995.
  • Shefrin, H. M., Thaler, R. H., The Behavioral Life-Cycle Hypothesis, “Economic Inquiry” 26(4), pp. 609-643, 1988.
  • Telmer, C. I., Asset Pricing Puzzles and Incomplete Markets, “Journal of Finance” 48, pp. 1803-1832, 1993.
  • Tsay, R. S., Testing and Modeling Threshold Autogressive Processes, “Journal of American Statistical Association” 84, pp. 231-40, 1989.
  • Tsay, R. S., Testing and Modeling Multivariate Threshold Models, “Journal of the American Statistical Association” 93, pp. 1188-1202, 1998.
  • Williamson, S. D., Financial Intermediation, Business Failures, and Real Business Cycles, “Journal of Political Economy” 95(6), pp. 1196-1216, 1987.
  • Zeldes, S. P., Consumption and Liquidity Constraints: An Empirical Investigation, “Journal of Political Economy” 97(2), pp. 305-346, 1989.
  • Zhang, H. H., Endogenous Borrowing Constraints with Incomplete Markets, “The Journal of Finance” 52(5), pp. 2187-2209, 1997.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.