Can Consumers Distinguish Persistent from Transitory Income Shocks?
提出一种新方法，利用收入和消费的面板数据识别消费者对收入冲击的信息掌握程度，发现美国家庭几乎能完美区分持久性与暂时性收入冲击，验证了传统边际消费倾向估计的可靠性。
Abstract The degree to which consumers can distinguish persistent from transitory income shocks is paramount for consumption-saving dynamics. In particular, even a small amount of imperfect information causes a severe bias in conventional estimators of the marginal propensity to consume. We provide a novel method that can identify consumers’ degree of information by using panel data on income and consumption, even allowing for measurement error. Employing our method to data from the Panel Study of Income Dynamics, we find that households have almost perfect information. This robust result indicates that the conventional estimators of the marginal propensity to consume are on firm ground.