Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization
利用美国季度数据，通过状态空间方法估计了金融自由化对消费与总财富（资产财富加人力财富）长期关系的影响，发现自由化使消费-财富比率上升约10%，且主要通过预测消费增长而非回报率起作用，支持不完全市场解释。
Summary This paper investigates the impact of financial liberalization on the relationship between consumption and total wealth (i.e., the sum of asset wealth and human wealth). Financial liberalization is persistent and may signal changes in expected future consumption growth rates and/or in rates of return on wealth that, through the intertemporal budget constraint, affect the current consumption–wealth ratio. We estimate the long‐run relationship between consumption, total wealth, and financial liberalization by state space methods using quarterly US data. The results show that the trend in the consumption–wealth ratio is well‐captured by our baseline liberalization indicator. We find that the increase in this indicator over the sample period has increased the consumption–wealth ratio with about 10%. Investigating the responsible channel, additional estimates show that financial liberalization has predictive power for aggregate consumption growth rather than for returns, a result that supports an incomplete markets interpretation of the link between liberalization and the consumption–wealth ratio.