The Slow Adjustment of Aggregate Consumption to Permanent Income
用新方法估计总消费与永久收入的协整关系，发现永久收入波动较大，消费调整缓慢，否定了标准永久收入假说，支持习惯形成或预防性储蓄等理论。
This paper investigates the relationship between aggregate consumption and permanent income using a new approach to the estimation of cointegrated systems that builds on Stock and Watson's common stochastic trends representation. The permanent and transitory movements in aggregate income and consumption are estimated directly using the Kalman filter and are allowed to be correlated. This approach avoids any implicit restriction that permanent income be as smooth as consumption. Instead, permanent income appears to be relatively volatile, with consumption adjusting toward it only slowly over time. These results provide a clear rejection of the standard version of the permanent income hypothesis and are suggestive of alternative theories of consumption behavior such as habit formation or precautionary savings.