Testing the Empirical Relevance of the ‘Saving for a Rainy Day’ Hypothesis in US Metro Areas
利用美国100个大都市区1980-2015年的数据，检验储蓄是否预测未来收入下降的“未雨绸缪”假说，发现收入更多预测消费和储蓄，而非相反，且房价变化在收入与消费动态中起重要作用。
Abstract The joint implication of the consumption Euler equation and cointegration between income and consumption is that savings predict future income declines, the ‘saving for a rainy day’ hypothesis. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers, and it holds under the null that the permanent income hypothesis is true. We find little support for this hypothesis using time series data for the 100 largest US Metropolitan Statistical Areas for the period 1980q1–2015q4. Our approach is to test for cointegration and weak exogeneity between income and consumption, and by exploring the direction of Granger causality between the two time series. We find that income more often predicts consumption and saving than the converse. We also give evidence that house price changes played a role in US income and consumption dynamics, before, during and after the Great Recession.